Measuring Security Price Performance Using Chilean Daily Stock Returns: The Event Study Method
AbstractFollowing 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.
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Bibliographic InfoArticle 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 ()
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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- 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.
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