This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Trading Frequency and Event Study Test Specification

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Arnold R. Cowan (Iowa State University)
Anne M.A. Sergeant (Iowa State University)

Additional information is available for the following registered author(s):

Abstract

We examine the effects of thin trading on the specification of event study tests. Simu-lations of upper and lower tail tests are reported with and without variance increases on the event date across levels of trading volume. The traditional standardized test is mis-specified for thinly traded samples. If return variance is unlikely to increase, then Cor-rado’s rank test provides the best specification and power. With variance increases, the rank test is misspecificed. The Boehmer et al. standardized cross-sectional test is properly specified, but not powerful, for upper-tailed tests. Lower-tailed alternative hy-potheses can best be evaluated using the generalized sign test.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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://129.3.20.41/eps/fin/papers/9610/9610002.pdf
File Format: application/pdf
File Function:
Download Restriction: no
File URL: http://129.3.20.41/eps/fin/papers/9610/9610002.html
File Format: text/html
File Function:
Download Restriction: no
File URL: http://129.3.20.41/eps/fin/papers/9610/9610002.doc.gz
File Format: application/msword
File Function:
Download Restriction: no
File URL: http://129.3.20.41/eps/fin/papers/9610/9610002.ps.gz
File Format: application/postscript
File Function:
Download Restriction: no

Publisher Info
Paper provided by EconWPA in its series Finance with number 9610002.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 37 pages
Date of creation: 15 Oct 1996
Date of revision:
Handle: RePEc:wpa:wuwpfi:9610002

Note: Type of Document - Word 6.0/7.0; prepared on Windows; to print on PostScript; pages: 37. Forthcoming in Journal of Banking and Finance.
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Related research
Keywords: event study research methods; trading volume; thin trading; nonparametric tests; Nasdaq;

Other versions of this item:

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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.:

  1. 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. [Downloadable!] (restricted)
  2. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December. [Downloadable!] (restricted)
  3. 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. [Downloadable!]
  4. 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. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
  6. Corrado, Charles J., 1989. "A nonparametric test for abnormal security-price performance in event studies," Journal of Financial Economics, Elsevier, vol. 23(2), pages 385-395, August. [Downloadable!] (restricted)
  7. Maynes, Elizabeth & Rumsey, John, 1993. "Conducting event studies with thinly traded stocks," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 145-157, February. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Arnold R. Cowan, 1996. "Convertible Exchangeable Preferred Stock," Finance 9606001, EconWPA, revised 12 Aug 1996. [Downloadable!]
  2. Mónica Melle, 2005. "¿Cómo valora el mercado de valores español la adopción de planes de opciones sobre acciones para directivos y consejeros?," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 73-115, January. [Downloadable!]
  3. Nihat Atkas & Eric Bodt & Richard Roll, 2001. "Market Response to European Regulation," University of California at Los Angeles, Anderson Graduate School of Management 1013, Anderson Graduate School of Management, UCLA. [Downloadable!]
  4. V. M. González-Méndez & Francisco González-Rodríguez, 2000. "Procedimientos de resolución de insolvencia financiera en España: costes de insolvencia y transferencia de riqueza," Investigaciones Economicas, Fundación SEPI, vol. 24(2), pages 357-384, May. [Downloadable!]
  5. Gonzalo Chavez & Ana Cristina Silva, 2006. "Improved corporate governance: market reaction and liquidity implications," Working Papers Economia wp06-08, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
  6. Sumon Kumar Bhaumik & Ekta Selarka, 2008. "Impact of M&A on firm performance in India: Implications for concentration of ownership and insider entrenchment," William Davidson Institute Working Papers Series wp907, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
  7. Víctor González & Francisco González, 2004. "Stock repurchases with legal restrictions. Evidence from Spain," European Journal of Finance, Taylor and Francis Journals, vol. 10(6), pages 526-541, December. [Downloadable!] (restricted)
  8. Ana Paula Serra, 2002. "Event Study Tests: A brief survey," FEP Working Papers 117, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
  9. Engelen, P.J. & Kabir, R., 2001. "Empirical evidence on the role of trading suspensions in disseminating new information to the capital market," Discussion Paper 92, Tilburg University, Center for Economic Research. [Downloadable!]
  10. Pablo Morán V, 2003. "Looking Back At The Controversy: Unexpected Wealth Effects Of A Transitory Clause," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 6(2), pages 117-147. [Downloadable!]
Statistics
Access and download statistics

Did you know? The RePEc project started in 1997. Its precursor, NetEc, dates back to 1993.

This page was last updated on 2009-11-17.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.