I just read an absolutely fascinating event study, "The Power of the Street: Evidence from Egypt’s Arab Spring," by Daron Acemoglu, Tarek Hassan and Ahmed Tahoun (DHT). The paper is here. I'm looking forward to seeing the seminar later today.
[Abstract: During Egypt’s Arab Spring, unprecedented popular mobilization and protests brought down Hosni
Mubarak’s government and ushered in an era of competition between three groups: elites associated
with Mubarak’s National Democratic Party, the military, and the Islamist Muslim Brotherhood.
Street protests continued to play an important role during this power struggle. We show that these
protests are associated with differential stock market returns for firms connected to the three groups.
Using daily variation in the number of protesters, we document that more intense protests in Tahrir
Square are associated with lower stock market valuations for firms connected to the group currently in
power relative to non-connected firms, but have no impact on the relative valuations of firms connected
to other powerful groups. We further show that activity on social media may have played an important
role in mobilizing protesters, but had no direct effect on relative valuations. According to our preferred
interpretation, these events provide evidence that, under weak institutions, popular mobilization and
protests have a role in restricting the ability of connected firms to capture excess rents.]
When first reading DHT, I thought the authors might be unaware of the large finance literature on event studies, since they don't cite any of it. Upon closer reading, however, I see that they repeatedly use the term "standard event study," indicating awareness coupled with a view that the methodology is now so well known as to render a citation unnecessary, along the lines of "no need to cite Student every time you report a t-statistic."
Well, perhaps, although I'm certain that most economists, even thoroughly empirical economists -- indeed even econometricians! -- have no idea what an event study is.
Anyway, here's a bit of background for those who want some.
DHT-style event studies originated in finance. The idea is to fit a benchmark return model to pre-event data, and then to examine cumulative "abnormal" returns (assessed using the model fitted pre-event) in a suitable post-event window. Large abnormal returns indicate a large causal impact of the event under study. The idea is brilliant in its simplicity and power.
Like so many things in empirical finance, event studies trace to Gene Fama (in this case, with several other luminaries):
The adjustment of stock prices to new information
For surveys, see: