haku: @author Barber, B. M. / yhteensä: 7
viite: 5 / 7
| Tekijä: | Barber, B. M. Lyon, J. D. |
| Otsikko: | Detecting long-run abnormal stock returns: The empirical power and specification of test statistics |
| Lehti: | Journal of Financial Economics
1997 : MAR, VOL. 43:3, p. 341-372 |
| Asiasana: | STOCK RETURNS TESTS STATISTICS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA