Firm Characteristics-based Event Study

Dacheng Xiu, Professor of Econometrics and Statistics

This project examines how economic events affect firms' stock prices and seeks to understand the time series and cross-sectional variations in the effects of these events based on firm characteristics.
While existing literature looks at the average impact from events like earnings announcements, a cohesive framework dissecting events’ impacts based on firm attributes and macroeconomic variables is missing. The study aims to provide such a unifying framework, and early findings show statistically and economically significant variations in abnormal returns from earnings announcements.