Does the Market Model Provide a Good Counterfactual for Event Studies in Finance?

We provide a common framework that relates traditional event study estimation methods in finance with a modern approach for causal event studies. This framework is called synthetic portfolio and is a particular case of synthetic control methods. We provide a simulation exercise and an empirical application to evaluate the performance of the method. In addition, synthetic control methods provides a reliable framework, for test based on the abnormal returns, that overcomes some difficulties in the traditional test. We conclude that the market model provides a counterfactual as good as a synthetic control

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Year of publication:	2017
Authors:	Castro, Carlos
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Ereignisstudie \| Event study \| Theorie \| Theory \| Kapitaleinkommen \| Capital income \| Schätzung \| Estimation

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