Multi-country event-study methods
We provide the first simulation evidence of event-study test performance in multi-country non-US samples. The nonparametric rank and generalized sign tests are more powerful than two common parametric tests, especially in multi-day windows. The two nonparametric tests are mostly well specified, but neither is perfectly specified in all situations. The parametric standardized cross-sectional test can provide a useful robustness check but is less powerful than the nonparametric tests and rejects too often in single-market samples and when firm-specific events affect the market index. Local-currency market-model abnormal returns using national market indexes are sufficient.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008.
"Volume and skewness in international equity markets,"
Journal of Banking & Finance,
Elsevier, vol. 32(7), pages 1255-1268, July.
- Colm Kearney & Margaret Lynch, 2005. "Volume and Skewness in International Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp043, IIIS.
- 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.
- Cowan, Arnold Richard, 1993. "Tests for cumulative abnormal returns over long periods: Simulation evidence," International Review of Financial Analysis, Elsevier, vol. 2(1), pages 51-68.
- Wuertz, Diethelm & Katzgraber, Helmut, 2009. "Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test," MPRA Paper 19155, University Library of Munich, Germany.
- Campbell R. Harvey & Karl V. Lins & Andrew H. Roper, 2001.
"The Effect of Capital Structure When Expected Agency Costs are Extreme,"
NBER Working Papers
8452, National Bureau of Economic Research, Inc.
- Harvey, Campbell R. & Lins, Karl V. & Roper, Andrew H., 2004. "The effect of capital structure when expected agency costs are extreme," Journal of Financial Economics, Elsevier, vol. 74(1), pages 3-30, October.
- Dutta, Shantanu & Jog, Vijay, 2009. "The long-term performance of acquiring firms: A re-examination of an anomaly," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1400-1412, August.
- Arnold R. Cowan & Anne M.A. Sergeant, 1996. "Trading Frequency and Event Study Test Specification," Finance 9610002, EconWPA.
- Cole, Rebel & Moshirian, Fari & Wu, Qionbing, 2007.
"Bank stock returns and economic growth,"
29188, University Library of Munich, Germany.
- Mikkelson, Wayne H. & Partch, M. Megan, 1986. "Valuation effects of security offerings and the issuance process," Journal of Financial Economics, Elsevier, vol. 15(1-2), pages 31-60.
- Aktas, Nihat & de Bodt, Eric & Roll, Richard, 2004. "Market Response to European Regulation of Business Combinations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(04), pages 731-757, December.
- Matías Braun & Borja Larrain, 2009. "Do IPOs Affect the Prices of Other Stocks? Evidence from Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 22(4), pages 1505-1544, April.
- Bailey, Warren & Karolyi, G. Andrew & Salva, Carolina, 2004.
"The Economic Consequences of Increased Disclosure:Evidence from International Cross-Listings,"
Working Paper Series
2004-7, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Bailey, Warren & Andrew Karolyi, G. & Salva, Carolina, 2006. "The economic consequences of increased disclosure: Evidence from international cross-listings," Journal of Financial Economics, Elsevier, vol. 81(1), pages 175-213, July.
- Nihat Aktas & Eric de Bodt & Richard Roll, 2007. "Is European M&A Regulation Protectionist?," Economic Journal, Royal Economic Society, vol. 117(522), pages 1096-1121, 07.
- 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.
- 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.
- Robert Savickas, 2003. "Event-Induced Volatility and Tests for Abnormal Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(2), pages 165-178.
- Ozgur S. Ince & R. Burt Porter, 2006. "INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(4), pages 463-479.
- 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.
- Behr, Patrick & Güttler, André, 2008. "The informational content of unsolicited ratings," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 587-599, April.
- 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.
- Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
- 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.
- Schmid, Friedrich & Trede, Mark, 2003. "Simple tests for peakedness, fat tails and leptokurtosis based on quantiles," Computational Statistics & Data Analysis, Elsevier, vol. 43(1), pages 1-12, May.
- Maynes, Elizabeth & Rumsey, John, 1993. "Conducting event studies with thinly traded stocks," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 145-157, February.
- Jin, Li & Myers, Stewart C., 2006. "R2 around the world: New theory and new tests," Journal of Financial Economics, Elsevier, vol. 79(2), pages 257-292, February.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:34:y:2010:i:12:p:3078-3090. 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: (Zhang, Lei)
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.