Event study is actually not just a study of some event, almost any study studies events as broadly defined (e.g. in any diff-in-diff you will have an important event which will be considered to be treatment, but diff-in-diff is not an event study).
Event study is name for a specific methodology for studying events which is primarily used in the field of finance (although you can find non-financial applications in the literature as well). Following the seminal work of MacKinlay (1997) on event studies an event study studies impact of identifiable event or events with the following steps:
- Event/Event Window Identification:
The initial task of conducting an event study is to define the event of interest
and identify the period over which the
security prices of the firms involved in
this event will be examined-the event
window. For example, if one is looking at
the information content of an earnings
with daily data, the event will be the
earnings announcement and the event
window will include the one day of the
announcement. It is customary to define
the event window to be larger than the
specific period of interest. This permits
examination of periods surrounding the event. . In practice, the period of interest
is often expanded to multiple days, including at least the day of the announcement and the day after the announcement. This captures the price
effects of announcements which occur
after the stock market closes on the announcement day. The periods prior to
and after the event may also be of interest. For example, in the earnings announcement case, the market may acquire information about the earnings
prior to the actual announcement and
one can investigate this possibility by examining pre-event returns.
- Selection Criteria
After identifying the event, it is necessary to determine the selection criteria
for the inclusion of a given firm in the
study. The criteria may involve restrictions imposed by data availability such as
listing on the New York Stock Exchange
or the American Stock Exchange or may
involve restrictions such as membership
in a specific industry
- Measuring Abnormal Returns
Appraisal of the event's impact requires a measure of the abnormal return.
The abnormal return is the actual ex post
return of the security over the event window minus the normal return of the firm
over the event window. The normal return is defined as the expected return
without conditioning on the event taking
This can be done in various different ways. However, generally you will have to select some estimation window based on which you create an auxiliary model that will tell you what a normal returns should be during the event and then abnormal returns are just the difference between normal estimated and observed ex-post returns.
- Design Testing Framework:
comes the design of the testing framework for the abnormal returns. Important considerations are defining the null
hypothesis and determining the techniques for aggregating the individual
firm abnormal returns.
Once you calculate your abnormal returns its important to test somehow to see if these are significant. Again there are various ways how to do that, often you see people testing whether the abnormal returns are statistically significantly different from zero using normal or $t$ distribution.
You can have further look at some student friendly explanation of event study methodology in Brooks Introductory Econometrics for Finance pp640. Also, note most sources do not break the methodology into 4 distinct steps and just present it as a whole, I just broken it down into 4 steps so its easier to follow, but its all part of single methodology.
PS: Note the terminology might not be always used consistently across different fields/subfields, but in economics when we talk about event studies it is typically the above.