search query: @indexterm Event Studies / total: 51
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| Author: | Cowan, A. R. Sergeant, A. M. A. |
| Title: | Interacting biases, non-normal return distributions and the performance of tests for long-horizon event studies |
| Journal: | Journal of Banking and Finance
2001 : APR, VOL. 25:4, p. 741-765 |
| Index terms: | EVENT STUDIES PERFORMANCE MANAGEMENT BIAS DISTRIBUTION |
| Language: | eng |
| Abstract: | The authors report simulations of one-, three-, and five- year abnormal buy-and-hold stock return tests. Using benchmark portfolios purged of new-listings and rebalancing biases, the authors find severe misspecification of most tests, due in part to skewness. Control-firm matching also results in misspecification, particularly in large samples. The authors document a negative relation between skewness bias and sample size, and an overlapping-horizons bias. Both biases become more severe as the holding period lengthens. The biases interact such that tests can be well- specified in one situation but not another. A two groups test using winsorized abnormal returns yields correct specification and considerable power in many situations. |
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