The statistical significance of excess dollar returns

In their recent peer-reviewed paper ‘Testing excess returns on event days: Log returns vs. dollar returns,’ Tiago Duarte-Silva and Maria Tripolski-Kimel demonstrate that the effect of news on the value of a security or a firm is of the same statistical significance when returns are measured in dollars. The authors examine a previous contrary claim that would have serious implications for securities litigation and other domains. The paper was featured on the Harvard Law School Forum on Corporate Governance and Financial Regulation here.