We provide a comprehensive review of event study methodology, a statistical tool widely used in finance and other disciplines to assess the impact of specific events on asset prices. The paper traces the historical development of event studies, highlighting key early works and the evolution of methodological approaches. It examines various aspects of event study design, including parametric and nonparametric test statistics, the challenges posed by event-induced variance, and optimal methods for aggregating results across multiple events. Furthermore, the review analyzes the power and specification of different statistical tests, considering the impact of non-normally distributed data and the importance of selecting appropriate market models. The author also discusses the implications of focusing on a specific sample versus generalizing to a broader population. Ultimately, the paper aims to provide a thorough understanding of the nuances and ongoing debates within event study methodology, offering insights for researchers applying these techniques.