Advanced Search
MyIDEAS: Login to save this article or follow this journal

Measuring Security Price Performance Using Chilean Daily Stock Returns: The Event Study Method

Contents:

Author Info

  • Rodrigo Saens
  • Eduardo Sandoval

Abstract

Following the Brown-Warner simulation approach and using Chilean daily security returns data, we examine the specification and power of three parametric t-tests commonly used in event-studies: the standardized, the cross-sectional and the porfolio t-test.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.economia.puc.cl/docs/126saena.pdf
Download Restriction: no

Bibliographic Info

Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía-Latin American Journal of Economics.

Volume (Year): 42 (2005)
Issue (Month): 126 ()
Pages: 307-328

as in new window
Handle: RePEc:ioe:cuadec:v:42:y:2005:i:126:p:307-328

Contact details of provider:
Postal: Avda. Vicuña Mackenna 4860, Macul, Santiago
Phone: (562) 354-4303
Fax: (562) 553-1664
Email:
Web page: http://www.economia.puc.cl
More information through EDIRC

Order Information:
Email:

Related research

Keywords: Event studies method; specification tests;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Wilson, Berry & Saunders, Anthony & Caprio, Gerard, Jr, 2000. "Mexico's Financial Sector Crisis: Propagative Linkages to Devaluation," Economic Journal, Royal Economic Society, vol. 110(460), pages 292-308, January.
  2. Campbell, Cynthia J. & Wesley, Charles E., 1993. "Measuring security price performance using daily NASDAQ returns," Journal of Financial Economics, Elsevier, vol. 33(1), pages 73-92, February.
  3. Ike Mathur, 2002. "Contagion Effects from the 1994 Mexican Peso Crisis: Evidence from Chilean Stocks," The Financial Review, Eastern Finance Association, vol. 37(1), pages 17-33, 02.
  4. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
  5. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
  6. Augusto Castillo, 2004. "The announcement effect of bond and equity issues: evidence from Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 31(2 Year 20), pages 177-205, December.
  7. Dodd, Peter & Warner, Jerold B., 1983. "On corporate governance : A study of proxy contests," Journal of Financial Economics, Elsevier, vol. 11(1-4), pages 401-438, April.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ioe:cuadec:v:42:y:2005:i:126:p:307-328. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jaime Casassus).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.