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

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Listed:
  • 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.

Suggested Citation

  • Rodrigo Saens & Eduardo Sandoval, 2005. "Measuring Security Price Performance Using Chilean Daily Stock Returns: The Event Study Method," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(126), pages 307-328.
    • Handle: RePEc:ioe:cuadec:v:42:y:2005:i:126:p:307-328
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    File URL: http://www.economia.uc.cl/docs/126saena.pdf
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    References listed on IDEAS

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    7. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
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    Cited by:

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    2. Souček, Michael & Wasserek, Thomas, 2014. "Impact of analyst recommendations on stock returns: Evidence from the German stock market," Discussion Papers 358, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.

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    Keywords

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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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