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Event Study Tests: A brief survey

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  • Ana Paula Serra

    ()
    (CEMPRE, Faculdade de Economia da Universidade do Porto)

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    Abstract

    In this paper, I describe some of the main parametric and non-parametric tests used in event studies to assess the significance of abnormal returns or changes in variance of returns.

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    File URL: http://www.fep.up.pt/investigacao/workingpapers/wp117.pdf
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    Bibliographic Info

    Paper provided by Universidade do Porto, Faculdade de Economia do Porto in its series FEP Working Papers with number 117.

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    Length: 14 pages
    Date of creation: May 2002
    Date of revision:
    Handle: RePEc:por:fepwps:117

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    Related research

    Keywords: Event Studies;

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    References

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    1. 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.
    2. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    3. Conrad, Jennifer & Kaul, Gautam, 1993. " Long-Term Market Overreaction or Biases in Computed Returns?," Journal of Finance, American Finance Association, vol. 48(1), pages 39-63, March.
    4. Acharya, Sankarshan, 1993. " Value of Latent Information: Alternative Event Study Methods," Journal of Finance, American Finance Association, vol. 48(1), pages 363-85, March.
    5. Corrado, Charles J. & Zivney, Terry L., 1992. "The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 465-478, September.
    6. 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.
    7. John D. Lyon & Brad M. Barber & Chih-Ling Tsai, 1999. "Improved Methods for Tests of Long-Run Abnormal Stock Returns," Journal of Finance, American Finance Association, vol. 54(1), pages 165-201, 02.
    8. Kothari, S. P. & Warner, Jerold B., 1997. "Measuring long-horizon security price performance," Journal of Financial Economics, Elsevier, vol. 43(3), pages 301-339, March.
    9. Arnold R. Cowan & Anne M.A. Sergeant, 1996. "Trading Frequency and Event Study Test Specification," Finance 9610002, EconWPA.
    10. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    11. 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.
    12. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    13. Cowan, Arnold R. & Sergeant, Anne M. A., 1996. "Trading frequency and event study test specification," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1731-1757, December.
    14. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
    15. Ana Paula Serra, 1999. "Dual-listings on international exchanges: the case of emerging markets' stocks," European Financial Management, European Financial Management Association, vol. 5(2), pages 165-202.
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    Citations

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    Cited by:
    1. Jorge M. S. Valente, 2004. "Local and global dominance conditions for the weighted earliness scheduling problem with no idle time," FEP Working Papers 156, Universidade do Porto, Faculdade de Economia do Porto.
    2. Cristina Barbot, 2004. "Low cost carriers, secondary airports and State aid: an economic assessment of the Charleroi affair," FEP Working Papers 159, Universidade do Porto, Faculdade de Economia do Porto.
    3. Tarcisio da Graca & Robert Masson, 2012. "More power to you: properties of a more powerful event study methodology," Review of Accounting and Finance, Emerald Group Publishing, vol. 11(2), pages 166-183, May.
    4. Rui Henrique Alves, 2004. "Europe: Looking for a New Model," FEP Working Papers 154, Universidade do Porto, Faculdade de Economia do Porto.
    5. Ana Paula Delgado & Isabel Maria Godinho, 2004. "The evolution of city size distribution in Portugal: 1864-2001," FEP Working Papers 151, Universidade do Porto, Faculdade de Economia do Porto.
    6. Maria do Rosario Correia & Scott C. Linn & Andrew Marshall, 2004. "An Empirical Investigation of Debt Contract Design: The Determinants of the Choice of Debt Terms in Eurobond Issues," FEP Working Papers 148, Universidade do Porto, Faculdade de Economia do Porto.
    7. Aktas, Nihat & de Bodt, Eric & Cousin, Jean-Gabriel, 2007. "Event studies with a contaminated estimation period," Journal of Corporate Finance, Elsevier, vol. 13(1), pages 129-145, March.
    8. Sandra Silva, 2004. "On evolutionary technological change and economic growth: Lakatos as a starting point for appraisal," FEP Working Papers 139, Universidade do Porto, Faculdade de Economia do Porto.
    9. Michele Fratianni & Francesco Marchionne, 2013. "The fading stock market response to announcements of bank bailouts," Mo.Fi.R. Working Papers 76, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    10. Rosa Forte, 2004. "The relationship between foreign direct investment and international trade. Substitution or complementarity? A survey," FEP Working Papers 140, Universidade do Porto, Faculdade de Economia do Porto.

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