Chapter Four · failure evidence
What Event Study Designs got wrong, from 24 dissertations
The records document methodological obstacles and design rejections across empirical event study applications. Key difficulties include violations of parallel pre-trends, contamination under staggered treatment adoption, and cumulative abnormal return limitations across diverse market settings. These records come from PhD theses at 13 institutions, 2021 to 2026. Each links to its thesis. They were extracted by language models reading the full text, so treat each as a lead to read, not a verdict.
Violation of parallel pre-trends undermines identification in difference-in-differences event studies
Pre-intervention trends diverged between treated and control groups, violating the parallel trends assumption necessary for causal inference. These identification failures arose from confounding pre-existing trends, underpowered designs, and the inclusion of dissimilar comparison units.
Tried and failed
two-way fixed effects event study design applied to estimating policy effects on charter enrollment. Reason: statistically significant pre-treatment leads violated parallel trends assumption
The Effects of Centralized School Assignment on Public School Enrollment · MIT
Tried and failed
stacked event study difference-in-differences applied to evaluating policy impacts on mortality rates. Reason: pre-intervention trends between treated and control groups failed the parallel trends assumption
Pressing Challenges in U.S. Health Policy: Polarization, Gun Violence, And Discrimination · Harvard
Tried and failed
difference-in-differences event study applied to aggregate mortality rates after policy expansion. Reason: pre-treatment divergence violated the parallel trends assumption required for causal inference
Essays in health economics · UT Austin
Tried and failed
event study estimation applied to facility entry impact evaluation. Outcome: no signal. Reason: the design was statistically underpowered and violated the parallel trends assumption
Tried and failed
event study difference-in-differences applied to maternal labor outcomes after childbirth. Reason: pre-existing differential trends violated the parallel trends assumption required for causal identification
Three Essays in Development Economics · Harvard
Tried and failed
stacked event study design applied to local spatial price dynamics. Outcome: unstable. Reason: unstable pre-trends violated identification assumptions, failing to replicate proximity-based results
Tried and failed
broad control group event study design applied to neighborhood demographic counterfactual estimation. Outcome: did not generalise. Reason: inclusion of dissimilar units introduced pre-treatment trends, violating parallel trends assumption
Tried and failed
stacked event study with staggered timing applied to spatial difference-in-differences across distance rings. Outcome: did not generalise. Reason: diverging pre-trends across distant spatial units violated parallel trends assumption
Tried and failed
spatial difference in differences with event study applied to infrastructure proximity and student test scores. Outcome: no signal. Reason: Lack of statistically significant overall effect confounded by pre-existing linear downward pre-trends
Essays on education and religion · UT Austin
Cumulative abnormal return models fail over extended horizons and complex time series
Cumulative abnormal return event studies proved ineffective over longer event windows because additional noise obscured abnormal returns, while short windows could not capture long-term synergy gains. Furthermore, standard cumulative abnormal return models failed to account for time series properties like autocorrelation, non-stationarity, and drift, and pre-event detrending eliminated statistical significance.
Tried and failed
long-horizon event study methodology applied to firm equity value post-regulatory events. Outcome: no signal. Reason: longer event windows introduced too much noise, obscuring statistically significant abnormal return effects
Studies In The Political Economy Of Anti-Money Laundering Regulation · Penn
Tried and failed
pre-event detrending in market-adjusted event study models applied to peer firm cumulative abnormal returns. Outcome: no signal. Reason: detrending pre-revision returns caused abnormal return differences across event groups to lose consistency and statistical significance
IPO price revisions: The competitive versus information effects · Texas Tech
Considered and rejected
Considered and rejected: Rejected cumulative abnormal returns (short-term CAR event study) as the dependent variable because the study required evaluating long-term synergy gains rather than short-term market cash flow expectations.
Essays on the role of experience and learning in post-aquisition performance of emerging market multinational enterprises · University of Nottingham Repository
Considered and rejected
Considered and rejected: Standard event study methodology based on CARs was rejected because it cannot adjust for autocorrelation, non-stationarity, seasonality, cyclical changes, or drifts in time series
The effects of supply chain disruptions due to hurricanes on stock price. · Cranfield
Two-way fixed effects event study designs suffer from treatment effect heterogeneity and contamination
Standard two-way fixed effects specifications with dynamic leads and lags broke down when applied to staggered treatment adoption settings. Heterogeneous treatment effects across cohorts produced cross-period contamination, generated spurious pre-trends, and mechanically dropped never-treated units.
Considered and rejected
Considered and rejected: Rejected standard two-way fixed effects event study designs with leads and lags due to cross-period contamination under staggered treatment adoption.
The Trade Impact of Diplomatic Relations in Developing Countries: The Choice between China or Taiwan · Scholars' Bank
Considered and rejected
Considered and rejected: Rejected standard two-way fixed effects (TWFE) dynamic event study estimation due to cohort treatment effect heterogeneity contamination that introduces bias and spurious pre-trends.
Considered and rejected
Considered and rejected: Rejected standard Two-Way Fixed Effects event study because leads/lags mechanically eliminate never-treated units and fail under treatment effect heterogeneity.
Technology, Violent Conflict, and the Determinants of Migration · Georgia Tech
Imprecise event dates and lack of electronic information dissemination prevent event identification
Studies could not execute standard event studies when generic topic categories failed to map onto specific unexpected event dates. Similarly, examining physical document disclosure dates failed because the underlying information had not been electronically disseminated to market participants before online posting.
Tried and failed
event study of physical document disclosures applied to asset price and volume reactions. Outcome: no signal. Reason: information was not publicly disseminated electronically to market participants prior to online posting
Hidden Mandatory Disclosure · Penn
Considered and rejected
Considered and rejected: Rejected using generic keyword categories ('social', 'political', 'people') for the empirical event study, because they could not be mapped to specific unexpected event dates.
Decentralized crypto asset environments lack sufficient sample overlap and reliable market benchmarks
Traditional event studies could not be applied to protocol transitions because small sample sizes and non-overlapping event dates across coins prevented joint testing. Researchers also rejected synthetic control assets and market indices for decentralized finance event studies due to the complete absence of reliable benchmarks.
Considered and rejected
Considered and rejected: Rejected traditional event study methodologies when examining PoS transition volatility due to small sample size and non-overlapping event dates across coins, adopting an extended GARCH model with a novel Chi-squared joint test statistic instead.
Essays on Financial Innovations : Expected Returns and Volatility in the Cryptocurrency Market · Osuva
Considered and rejected
Considered and rejected: Rejected relying on synthetic control assets or market indices for DeFi event study DiD analysis due to lack of reliable benchmarks; used real correlated counterfactual governance tokens instead.
Computational Methods for Analyzing Decentralized Finance Ecosystems Rechnergestützte Methoden zur Analyse dezentraler Finanzökosysteme · DSpace-CRIS at TU Wien
Left open by the authors
Problems the authors named and did not get to.
Left open
Perform an event study analyzing systemic risk and spillover effects from specific stablecoins and volatile assets following liquidation cascades or oracle failures. Blocker: None
Blockchain and Decentralized Finance: Assessment of Risks, Opportunities, and Innovative Monetary Systems · IRIS - UNICAM - prod
Left open
Analyze corporate strategic responses before and after regulatory penalties for weak monitoring using difference-in-differences and event study methodologies. Blocker: Lacks specific operational definitions of strategic responses, regulatory penalty datasets, and explicit modeling formulation
The consequences of financial regulation. · Cranfield
Left open
Perform an event study analyzing the reaction of extracted sovereign latent risk premia to macroeconomic and political announcements. Blocker: None
Comparative Analysis of Risk in Euro-Area Sovereign Yields · Penn
Left open
Analyze multi-year IT announcement event study data to determine whether market reactions to different IT announcement types change over time. Blocker: Requires commercial access to PR Newswire archives via LexisNexis and subscription financial market data like CRSP
The effect of information asymmetry and firm risk on the market reaction to information technology announcements · Texas Tech
Left open
Conduct an event study estimating the impact of live-streaming sales events on offline brick-and-mortar stores. Blocker: Proprietary or restricted commercial data on live-streaming sales events and offline store transactions
Essays on Network Coalition, Online Price Signaling, and E-commerce Effects on Offline Stores · Cornell
Left open
Conduct an event study of the PoW-to-PoS protocol transition using event windows centered on announcement dates instead of implementation dates. Blocker: None
Essays on Financial Innovations : Expected Returns and Volatility in the Cryptocurrency Market · Osuva
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