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A study of the relationship between a particular event or class of events and the response of a variable of interest. For example, a researcher may be interested in the relationship between company stock repurchases and stock returns. The researcher measures the returns in the period prior to and after the day a stock repurchase is announced for a sample of securities. Although the dates of the stock repurchase announcements differ across time, the pre-event and post event periods are uniform in relation to the event. The researcher tests to see if the average returns in the pre-event and post-event periods are significantly different from each other.
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