We set out an intraday event study methodology relying on minute-by-minute data and formulate an analytical framework to determine the window of time, i.e., the event window, over which stock prices fully reflect relevant new information. While the traditional daily price data-based event study approach assumes the event window to be a full day, this paper’s methodology allows the data to determine the length of the event window. This is particularly relevant because many prior studies have shown that stock prices reflect new information within a matter of minutes. Our event study model not only provides an accurate measurement of the stock price impact of a relevant event, but also determines whether the impact is statistically significant. Our study has obvious implications for institutional investors and asset managers engaged in securities litigation where loss causation, materiality and quantification of damages are at issue.

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“An Intraday Event Study Methodology for Determining Loss Causation,” A. Saha, A. Rinaudo, The Journal of Financial Perspectives 2(2), (2014), 161-172