Gelbach, Jonah B.; Helland, Eric; Klick, Jonathan - In: American Law and Economics Review 15 (2013) 2, pp. 495-541
Single-firm event studies play an important role in both scholarship and litigation despite the general invalidity of standard inference. We use a broad cross-section of 2000--2007 CRSP data and find that the standard approach performs poorly in terms of both Type I and Type II error rates. We...
