Event studies capture the effects of events on stocks. These price, volume, and volatility effects arise from new information that is disseminated to and processed by the capital markets.

Capital Markets, however, do have trading hours and do not operate on public holidays. Thus, in case an event took place on a non-trading day, an adjustment is needed. Typically, the right choice is to auto-adjust to the later date - unless there is a strong reason to assume the information was processed by the capital markets on the day before of the event.