Anticipation and Returns in Event Studies

When an event is anticipated, the firm's stock return around the announcement of the event may have an inconsistent sign: a positive sign around negative news, or vice versa. We attempt to quantify the frequency of this problem, first with a brief mathematical model and simulation, then with empirical tests that support the model, employing data on analyst upgrades. We find that more than 10% of returns can have inconsistent signs, even with low levels of anticipation. Researchers should adjust their event-study data to properly account for anticipation

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Year of publication:	2013
Authors:	Offenberg, David
Other Persons:	Officer, Micah S. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Ereignisstudie \| Event study \| Kapitaleinkommen \| Capital income \| Ankündigungseffekt \| Announcement effect \| Theorie \| Theory \| Börsenkurs \| Share price

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