Estudio De Eventos Micklinlay 1997

American Economic Association

Event Studies in Economics and Finance
Author(s): A. Craig MacKinlay
Source: Journal of Economic Literature, Vol. 35, No. 1 (Mar., 1997), pp. 13-39
Published by: American Economic Association
Stable URL: http://www.jstor.org/stable/2729691 .
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http://www.jstor.orgJournal of Economic Literature
Vol. XXXV (March 1997), pp. 13-39

Event

Studies

in Economics
Finance

and

A. CRAIG MACKINLAY
The Wharton School, University of Pennsylvania
Thlanks o John Can
t
ipbell, BriuceG-tr dly, Andrti-ewv and twvo nonymnotusrefereesfor helpful
u
Lo,
a
comments andcl iscussion. Research suLpportfrom the RodineyL. WVhite enter for Finiancial
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CResearch is gratefiully acknzowvledged.

1. Introduction

deficit.1 However, applications in other
fields are also abundant. For example,
event studies are used in the field of law
and economics to measure the impact on
the value of a firm of a change in the
regulatory environment (see G. William
Schwert 1981) and in legal liability cases
event studies are used to assess damages
(see MarkMitchell and Jeffry Netter
1994). In the majority of applications,
the focus is the effect of an event on the
price of a particular class of securities of
the firm, most often common equity. In
this paper the methodology is discussed
in terms of applications that use common
equity. However, event studies can be
applied using debt securities with little
modification.
Event studies have along history. Perhaps the first published study is James
Dolley (1933). In this work, he examines
the price effects of stock splits, studying
nominal price changes at the time of the
split. Using a sample of 95 splits from
1921 to 1931, he finds that the price in-

ECONOMISTS are frequently asked to
measure the effects of an economic
event on the value of firms. On the surface this seemslike a difficult task, but a
measure can be constructed easily using
an event study. Using financial market
data, an event study measures the impact
of a specific event on the value of a firm.
The usefulness of such a study comes
from the fact that, given rationality in
the marketplace, the effects of an event
will be reflected immediately in security
prices. Thus a measure of the event'seconomic impact can be constructed
using security prices observed over a
relatively short time period. In contrast,
direct productivity related measures may
require many months or even years of
observation.
The event study has many applications. In accounting and finance research, event studies have been applied
to a variety of firm specific and economy
wide events. Some examples include...