Document Type

Article

Publication Date

11-2010

Journal or Book Title

Journal of Banking & Finance

Volume

34

Issue

12

First Page

3078

Last Page

3090

DOI

10.1016/j.jbankfin.2010.07.016

Abstract

We provide the first simulation evidence of event-study test performance in multi-country non-US samples. The nonparametric rank and generalized sign tests are more powerful than two common parametric tests, especially in multi-day windows. The two nonparametric tests are mostly well specified, but neither is perfectly specified in all situations. The parametric standardized cross-sectional test can provide a useful robustness check but is less powerful than the nonparametric tests and rejects too often in single-market samples and when firm-specific events affect the market index. Local-currency market-model abnormal returns using national market indexes are sufficient.

Comments

This is a post-print of an article from Journal of Banking & Finance, 34, no. 12 (2010): 3078–3090, doi:10.1016/j.jbankfin.2010.07.016.

Copyright Owner

Elsevier B.V.

Language

en

File Format

application/pdf

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