Event studies are widely used in finance research to investigate the implications of announcements of corporate initiatives, regulatory changes, or macroeconomic shocks on stock prices. These studies are often used in a single-country setting (usually the U.S.), but little work has yet been conducted in an international context, perhaps due to the complexities inherent in implementing cross-country studies. This paper explores the methodological challenges of conducting event studies in international finance research. We emphasize how scholars should choose an event, select the study period (short vs. long term), estimate abnormal returns, infer statistically whether the event under consideration produces a reliable price reaction, and explore the role of formal and informal institutions in explaining cross-country differences in price reactions. We also provide an extension of event studies to an important but less studied asset class in an international setting – the fixed-income market. We conclude by offering practical recommendations for researchers conducting cross-country finance event studies and identifying opportunities for future research. Given the increasing number of global events, such as the COVID-19 pandemic, Brexit, and the Paris and Trans-Pacific Partnership agreements, we believe our paper is especially timely.

事件研究广泛用于金融研究，以调查公司举措公告、监管变化或宏观经济冲击对股票价格的影响。这些研究通常用于单一国家环境（通常是美国），但在国际环境中开展的工作很少，这可能是由于实施跨国研究固有的复杂性。本文探讨了在国际金融研究中进行事件研究的方法论挑战。我们强调学者应该如何选择一个事件，选择研究时期（短期与长期），估计异常收益，统计推断所考虑的事件是否产生可靠的价格反应，并探讨正式和非正式机构在解释交叉方面的作用-价格反应的国家差异。我们还将事件研究扩展到国际环境中一个重要但研究较少的资产类别——固定收益市场。最后，我们为进行跨国金融事件研究并确定未来研究机会的研究人员提供实用建议。鉴于全球事件越来越多，例如 COVID-19 大流行、英国脱欧以及巴黎协定和跨太平洋伙伴关系协定，我们认为我们的论文特别及时。