Event Studies With Intraday Data

Analyzing all publicly traded U.S. stocks for 2014-2021, using intraday data from TAQ, TRACE, I/B/E/S, and Capital IQ, using daily data from CRSP, Compustat, CRSP-Compustat Merged Database, and FRED, I find that abnormal reactions are systemically all out of the system within two hours after a potentially material event. I compile a dataset of systematic, independent, and objective characterizations of each ticker-year, ticker-halfyear, ticker-quarter, and ticker-month, as statistically and economically significant efficient, statistically and economically significant inefficient, or otherwise. I find that capital markets during the first two months of the COVID-19 lockdown were statistically and economically significantly less efficient