Re: Data leaks hit share prices hard

["Allan Friedman" <allan_friedman () ksgphd harvard edu>]

The idea behind an event study is the critical "all other things
equal" assumption.   A security has some fixed value, a piece of news
becomes known to the market, and the price adjusts based on how the
news is percieved. At least in theory :)


One upshot is that the "event window" or the period of time examined
for an impact of the new information shouldn't span too much time,
since many other things also affect a security's value.

Happy to take a methodological discussion offline. In my experience,
they are a fairly commonly used metric, but do not pass muster among
the more serious of econometricians.

allan

On 10/9/06, DOpacki () covestic com <DOpacki () covestic com> wrote:
> Indeed, but aren't we talking about means of assessing the performance of
> securities, not necessarily companies? Is it fair to conflate the two? After
> all, the link you sent indicates that "the way that markets react to news
> surprises is perhaps the most visible flaw in the efficient market
> hypothesis". What are data breach disclosures, if not news surprises?
>
> -Dennis
>
>  ________________________________
>  From: Chris Walsh
> Sent: Mon 10/9/2006 11:50 AM
> To: Dennis Opacki
> Cc: Allan Friedman; dataloss () attrition org
> Subject: Re: [Dataloss] Data leaks hit share prices hard
>
>
>
>
>
> The underlying theory is generated via the so-called efficient markets
> hypothesis, which holds that stock prices reflect all information available
> to the market about firms' expected future returns.
>
> http://en.wikipedia.org/wiki/Efficient_market_hypothesis
>
> This is a contentious issue :^)
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