Does R-Squared Have A Role In Event Study Analysis?

By Atanu Saha, Yong Xu and Blathnaid Heaney ( May 22, 2025, 3:45 PM EDT) -- A central issue in securities litigation matters is whether a piece of news or information was material to investors. To establish materiality, experts often use an event study analysis to examine an event's stock price response after accounting for market and industry factors, which might have also affected the stock price on the event day....

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