Event Study Tests: A brief survey
In this paper, I describe some of the main parametric and non-parametric tests used in event studies to assess the significance of abnormal returns or changes in variance of returns.
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- Conrad, Jennifer & Kaul, Gautam, 1993. " Long-Term Market Overreaction or Biases in Computed Returns?," Journal of Finance, American Finance Association, vol. 48(1), pages 39-63, March.
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