Event study types

Return event study

The standard, and most common, variant. It measures whether an event moved a stock's price beyond what the broader market would explain, by comparing realized returns around the event with the returns you would have expected without it. The difference is the abnormal return. This is the core methodology, so it is covered in detail in the introduction to event study methodology.

Volume event study

Instead of returns, this variant applies the same logic to trading volume, testing whether the volume around an event departs significantly from normal levels. Abnormal volume can signal informed trading, which makes it useful for detecting suspicious activity before merger announcements and for securities litigation. Read more on the volume event study page.

Long-run event study

This variant asks whether an event has a persistent effect over months or years, rather than only on the announcement day. It checks whether the market fully prices the event immediately or whether a drift follows. Common approaches include buy-and-hold abnormal returns and calendar-time portfolios. Read more on the long-run event study page.

Intraday event study

Here the time unit contracts from days to minutes, so the analysis can capture how quickly prices adjust to new information. As algorithmic and high-frequency trading have sped up that adjustment, finer resolution has become valuable, including in securities litigation. See the intraday event studies page.

Reverse event study

A reverse event study looks at firms not directly named in an event, to measure spillover effects on rivals, suppliers, customers, or related industries. The same abnormal-return and abnormal-volume tests apply, just to an indirectly affected sample. It has been used for mergers, antitrust investigations, and regulatory changes. Read more on the reverse event study page.