search query: @author Barber, B. M. / total: 7
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| Author: | Barber, B. M. Lyon, J. D. |
| Title: | Detecting long-run abnormal stock returns: The empirical power and specification of test statistics |
| Journal: | Journal of Financial Economics
1997 : MAR, VOL. 43:3, p. 341-372 |
| Index terms: | STOCK RETURNS TESTS STATISTICS |
| Language: | eng |
| Abstract: | This study analyzes the empirical power and specification of test statistics in event studies which are designed to detect long-run abnormal stock returns.It is documented that test statistics based on abnormal returns calculated using a reference protfolio, are misspecified. the reasons for the misspecification are identified. The identified sources of misspecification are corrected by matching sample firms to control firms of same size and book-to-market-ratios. The control firm approach yields well-specified test statistics in virtually all sampling situations considered. |
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