This open access book offers a clear, research oriented guide to event study methodology across corporate finance, asset pricing, and financial econometrics. Covering the full empirical workflow, from event identification and window design to models for expected returns and statistical inference, the book situates abnormal returns and cumulative abnormal returns within market, multifactor, and buy and hold frameworks. It reviews classical and non parametric tests; examines specification and power through simulation; and treats empirical challenges such as cross sectional dependence, volatility dynamics, and estimation window contamination via portfolio, regression, ARCH/GARCH, and Markov switching approaches. Cross sectional regressions, selection issues, and the interface with modern causal inference - including difference in differences and synthetic DiD - are developed with applications to mergers and acquisitions, regulatory changes, and technological shocks.

The volume also contains insights for litigation and policy by explaining how event studies are deployed in securities fraud, antitrust, and regulatory contexts, including class certification standards and damages analysis.

Eric de Bodt is Adjunct Professor of Finance at NHH, Norwegian School of Economics. His research spans corporate finance, mergers and acquisitions, regulation, event-study methodology, machine learning, and natural language processing.

Jean-Gabriel Cousin is Professor of Finance at IAE Lille, University of Lille. His research focuses on corporate finance, mergers and acquisitions, event-study methodology, and empirical corporate finance.

Richard Roll is Professor Emeritus of Finance at UCLA Anderson. He co-authored the seminal 1969 paper by Fama, Fisher, Jensen, and Roll that laid the foundations of modern event-study methodology. He has published more than 125 journal articles and five books and served as President of the American Finance Association.