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...

Authors often add covariates to a base model sequentially either to test a particular coefficient's “robustness” or to account for the “effects” on this coefficient of adding covariates. This is problematic, due to sequence-sensitivity when added covariates are intercorrelated. Using the...

I point out that the Coase theorem suggests there should not be wasteful discovery, in the sense that the value to the requester is less than the cost to the responder. I use a toy model to show that a sufficiently informed court could design a mechanism under which the Coasean prediction is...

Event studies, a half-century-old approach to measuring the effect of events on stock prices, are now ubiquitous in securities fraud litigation. In determining whether the event study demonstrates a price effect, expert witnesses typically base their conclusion on whether the results are...

In this paper we propose a new variance estimator for OLS as well as for nonlinear estimators such as logit, probit and GMM, that provcides cluster-robust inference when there is two-way or multi-way clustering that is non-nested. The variance estimator extends the standard cluster-robust...