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I am studying the impact of announcements by a Central Bank on a stock's returns. To measure these impacts, I employ an event study (where my event window is 10 days and my estimation window is 60 days). In other words, the effect that I study is in the short term. My first question is, is there a methodology to measure the long-term impact of these announcements? From what I have found, one could still use an event study and change the expected returns for a buy-and-hold abnormal return approach. However, this methodology seems to have many implementation problems and is unsuitable. So, could I use other methods? Structural changes? DiD? How do these methodologies differ from the event study?

On the other hand, I suspect that the impact of the announcements is not long-term, but how to be sure of this? I found that short-term and long-term studies have different objectives. The former seeks to measure the speed at which information is absorbed into prices (which is what I am looking for). In contrast, the latter seeks to find an "Argument for inefficiency or different expected return." However, I don't quite understand what the long-term refers to. Could someone explain this to me further?

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