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Event Study Tests: A brief survey

Author

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  • Ana Paula Serra

    (CEMPRE, Faculdade de Economia da Universidade do Porto)

Abstract

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.

Suggested Citation

  • Ana Paula Serra, 2002. "Event Study Tests: A brief survey," FEP Working Papers 117, Universidade do Porto, Faculdade de Economia do Porto.
    • Handle: RePEc:por:fepwps:117
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    File URL: http://www.fep.up.pt/investigacao/workingpapers/wp117.pdf
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    References listed on IDEAS

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    4. 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.
    5. John D. Lyon & Brad M. Barber & Chih‐Ling Tsai, 1999. "Improved Methods for Tests of Long‐Run Abnormal Stock Returns," Journal of Finance, American Finance Association, vol. 54(1), pages 165-201, February.
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    More about this item

    Keywords

    Event Studies;

    JEL classification:

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

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