Measuring Security Price Performance Using Chilean Daily Stock Returns: The Event Study Method
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.
Volume (Year): 42 (2005)
Issue (Month): 126 ()
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- 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.
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