Rather than restating the stock split result, this appraisal for GB792 Unit 3 re-examines the event date, window and benchmark behind Fama, Fisher, Jensen and Roll (1969). Searches like "gb 792 unit 3 assignment example", "gb792 unit 3 sample" and "gb792 unit 3 example" land here.
What a finished GB792 Unit 3 event study appraisal looks like
Six pages in five parts, opening on the citation: Fama, E. F., Fisher, L., Jensen, M. C., and Roll, R. (1969), The adjustment of stock prices to new information, International Economic Review, 10(1). Part one restates the design: New York Stock Exchange splits from 1927 to 1959, monthly returns, market model residuals averaged across firms and cumulated from roughly thirty months before the split to thirty after. Part two appraises the event date, part three the window, part four the benchmark. Each of those parts ends on a short statement of how the result would change if that one choice changed. Part five compares the original with later work using announcement dates and daily data, and a table lists every design choice beside the alternative the appraisal proposes.
How a GB792 Unit 3 example is structured
Choices come in the order the estimate depends on them. The event date is first because every other decision inherits it: with only monthly data and the effective month as zero, announcement effects fall somewhere in the preceding weeks and cannot be located precisely. The window follows, and the appraisal argues that the long pre-event rise mixes two things, information about the split and the price run-up that made management want one. A firm splits because its price climbed, so most of that rise is selection, not reaction. The benchmark section asks whether the market model's parameters were estimated on months that include the run-up, which would bias expected returns upward and shrink measured abnormal ones. Later evidence closes the argument: announcement-date studies with daily returns, such as Grinblatt, Masulis and Titman in 1984, isolate the reaction far more tightly than the original could.
An effective date standing in for news
With monthly returns and no announcement dates, the split month anchors the event. Any reaction to the announcement is spread across earlier months and cannot be timed.
Run-up versus reaction
Stocks split after rising. The appraisal separates the climb that prompted the decision from any response to it, and argues the first dominates the long pre-event window.
Sorting by later dividends
Splitting firms that raised dividends held their gains, while those cutting dividends gave some back. The authors read the split as a dividend signal, a reading the appraisal finds well supported.
A benchmark fitted on unusual months
Parameters estimated over periods containing the run-up inflate expected returns. The appraisal asks exactly which months entered the estimation and what that choice does to the residuals.
Daily data and announcement days
Later studies using announcement dates find a clear reaction within days. Evidence on drift after splits is more mixed, and the appraisal reports it without choosing a side.
Where marks go in GB792 Unit 3
Praise for the study as the first of its kind, with nothing after it, is graded as history rather than method, because doctoral readers expect the design taken apart choice by choice. Many drafts treat the pre-split rise as the market's reaction to the split, which ignores why firms split in the first place. Benchmark discussion that names the market model without asking what period estimated it gets marked as incomplete. Some candidates fault the original for lacking daily data, judging 1969 by later tools; the stronger point is what monthly data could and could not locate. Misreporting the sample, calling it a Nasdaq study or placing it after 1960, is corrected in the margin. Proposed alternatives offered with no statement of how the result would move earn little credit.
Get a GB792 Unit 3 example written to your instructions
Share the event study your section assigned, whether a classic like this one or a recent paper, together with the Unit 3 instructions and rubric. What returns appraises the event date, window and benchmark in turn and says how the result shifts under each alternative. Expect it within 24-48h; the first custom sample carries no charge.
GB792 Unit 3 questions, answered
Why appraise the original split study instead of a modern event study?
Because nearly every modern event study inherits its structure, and its constraints are easy to see. Monthly data, an effective date as event zero and a long window make each design choice visible. If your section assigns a recent paper, the same five-part appraisal applies, and newer studies often raise harder benchmark questions, such as factor models over long windows.
Is the appraisal saying the 1969 conclusions were wrong?
No. It argues the conclusions about dividend information hold up well, while the long pre-event rise was mostly selection rather than reaction. That distinction sharpens the original instead of overturning it. A strong appraisal usually reaches a mixed verdict of this kind, stating exactly which inference survives each alternative design and which one weakens under it.
What does a benchmark model do in an event study?
It supplies the return a stock would have earned without the event, so the difference can be called abnormal. The market model does this by fitting each stock's returns against the market over a quiet period. If that period is not quiet, or the model omits a relevant factor, the abnormal return inherits the error, which is why the appraisal checks both.