A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach.

This article presents a simulation approach to compare event study methodologies using daily stock returns. The authors are interested in examining if the interactions the occur between portfolio size, event-date uncertainty and the size of abnormal performances impacts the ability of researchers to detect abnormal performances of stock returns. They note that their results were similar to the work of previous researchers who have also run portfolio simulations to investigate the impact of these variables.