Long-Run Abnormal Stock Performance
Author | : Jean-Francois Bacmann |
Publisher | : |
Total Pages | : 34 |
Release | : 2003 |
ISBN-10 | : OCLC:1290392418 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Long-Run Abnormal Stock Performance written by Jean-Francois Bacmann and published by . This book was released on 2003 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this research we study the specification and the power of classic test statistics used in long-term event studies analysis. Using simulations in random samples, we show that test statistics based on an arbitrary benchmark are well specified and as powerful as the ones based on the size and book-to-market benchmark. However, when conditioning the samples on past stock returns performance, we show that a good matching procedure is required in order to obtain well specified and powerful tests.Finally, we examine the specification and the power of calendar-time portfolios. The crosssectional standardized t-stat is well specified in random samples in which the frequency of the events is random or depends on the past market returns performance. However, when the frequency of events is conditioned on past market returns performance and the stocks are selected among the most extreme returns misspecified test statistics are obtained.