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| Author: | Armitage, S. |
| Title: | Event study methods and evidence on their performance |
| Journal: | Journal of Economic Surveys
1995 : MAR, VOL. 9:1, p. 25-52 |
| Index terms: | SIMULATION TESTS SHARES |
| Language: | eng |
| Abstract: | The paper outlines widely used methods of estimating abnormal returns and testing their significance, highlights respects in which they differ conceptually, and reviews research comparing results they produce in various empirical contexts. Direct evidence on the performance of different methods is available from simulation experiments in which known levels of abnormal return are added. The market model is most commonly used to generate expected returns. |
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