On Using Text Analytics for Event Studies Max R. Kimbrough, Esquire Del Collo & Mazzanti LLP Paoli, PA 19301 mrk@delmazz.com Steven O. Kimbrough University of Pennsylvania Philadelphia, PA 19104 kimbrough@wharton.upenn.edu Priscilla Murphy Temple University Philadelphia, PA murphyp@temple.edu ABSTRACT Event studies seek convincing evidence connecting behavior with a known or conjectured event. Originating in nance, event studies have spread to and become established in many other elds, including law. Multiple regression modeling, the standard methodology for doing event studies, may not be ideally suited for event studies based on data derived from bodies of text, since the required distributional assumptions may be problematic. This paper reports on an exploratory study that uses text analytic methods to discern events. The study draws upon and extends a previously published study of the speeches made by the CEO of a tobacco company in the years surrounding the tobacco settlement in 1998. Examining SEC lings from three major tobacco companies, the study reported in this paper nds cause for optimism in the use of text analytics to discern and investigate events of interest in law. 3. Data and analysis, usually in the form of tting an econometric (statistical regression) model, aimed at determining
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On using text analytics for event studies
Kimbrough, Max R.; Kimbrough, Steven O.; Murphy, Priscilla
Association for Computing Machinery — Jun 6, 2011
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