Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2013
We discuss the use of event studies in macroeconomics and finance, arguing that many important macro-finance questions … can only be answered using event studies with high-frequency financial market data. We provide a broad picture of the use … of event studies, along with their limitations. As examples, we study financial markets' responses to specific events …