Traditional event study methods use regression models to estimate market models and conduct statistical tests. We present a method based on option-implied information about the distribution of stock returns and the co-movement with return factors. This method decreases the reliance on historical market information, uses more contemporaneous inputs, and avoids potential bias from standard regression approaches. We derive this method for one- and two-factor models and provide illustrations of how it compares to the historical and in-sample approaches. We discuss empirical implementation issues and situations where this forward-looking approach might be most appropriate.
Securities Litigation Flash: Q2 2025
Filing trends Section 10(b) and Section 11 filings totaled 41 during the second quarter of 2025, 24% less than in the same period in 2024 and 24% less than in...