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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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    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.
    2. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    3. 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.
    4. Ike Mathur & Kimberly C. Gleason & Selahattin Dibooglu & Manohar Singh, 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, February.
    5. Wilson, Berry & Saunders, Anthony & Caprio, Gerard, Jr, 2000. "Mexico's Financial Sector Crisis: Propagative Linkages to Devaluation," Economic Journal, Royal Economic Society, vol. 110(460), pages 292-308, January.
    6. Augusto Castillo, 2004. "The announcement effect of bond and equity issues: evidence from Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 31(2 Year 20), pages 177-205, December.
    7. 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.
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    Cited by:

    1. Emrah Öget, 2022. "The Effect of Positive and Negative Events on Cryptocurrency Prices," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(1), pages 16-31.
    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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