Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises
NBER Working Paper No. 25016
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We are grateful to Eric Swanson and many seminar and conference participants for helpful comments on an earlier draft. We thank Yunus Can Aybaş and Cem Tütüncü for outstanding research assistance. The code that implements the econometric procedures described in this paper is available in a user-friendly form on the authors’ web pages. Gurkaynak’s research was supported by funding from the European Research Council (ERC) under the European Union’s Horizon 2020 research and innovation program (grant agreement No 726400). All errors are our sole responsibility. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.