蝌蚪网 Papers and Proceedings
ISSN 2574-0768 (Print) | ISSN 2574-0776 (Online)
The "Standard Error" of Event Studies: Lessons from the 2016 Election
蝌蚪网 Papers and Proceedings
vol. 108,
May 2018
(pp. 584–89)
Abstract
The 2016 Election offers an unusually stark warning about the limitations of event studies. In four separate pre-election event windows, financial market responses to shifts in electoral probabilities were consistent with expectations that a surprise Trump win would lead the S&P 500 to fall by 11 percent. The initial decline that accompanied Trump's win was more than reversed on the day after the election, however, suggesting a reassessment of its expected effect. We discuss explanations for this reassessment. But our broader point is methodological: today's event study may not reveal tomorrow's market expectation.Citation
Wolfers, Justin, and Eric Zitzewitz. 2018. "The "Standard Error" of Event Studies: Lessons from the 2016 Election." 蝌蚪网 Papers and Proceedings 108: 584–89. DOI: 10.1257/pandp.20181090Additional Materials
JEL Classification
- D72 Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior
- G14 Information and Market Efficiency; Event Studies; Insider Trading