We provide a common framework that relates traditional event study estimation methods in finance to a modern approach for causal event studies. The framework provides a model for abnormal returns that nests the fitted market model (the traditional approach) and more recent approaches based on difference-in-differences and synthetic control methods. We show that a synthetic control method in this context can be understood as a synthetic portfolio. We provide a simulation exercise and an empirical application, using mergers and acquisitions as the event of interest, to evaluate the performance of the different models within the framework. Our results indicate that causal inference methods such as synthetic matching or difference-in-differences do not provide an improvement over the traditional approach based on the fitted market model. Although the fitted market model may not always abide by the conditions under which it is considered a proper counterfactual, its performance indicates that it is still a good potential outcome.

中文翻译：

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市场模型是否为金融事件研究提供了良好的反事实？

我们提供了一个通用框架，将金融中的传统事件研究估计方法与因果事件研究的现代方法联系起来。该框架提供了一个异常回报模型，该模型嵌套了拟合市场模型（传统方法）和基于差异中的差异和综合控制方法的最新方法。我们表明，在这种情况下，综合控制方法可以理解为综合投资组合。我们提供了一个模拟练习和一个实证应用程序，使用合并和收购作为感兴趣的事件，以评估框架内不同模型的性能。我们的结果表明，因果推理方法（例如合成匹配或差异中的差异）并没有比基于拟合市场模型的传统方法提供改进。