Multi-Country Event Study MethodsJournal of Banking & Finance
AbstractWe provide the first simulation evidence of event-study test performance in multi-country non-US samples. The nonparametric rank and generalized sign tests are more powerful than two common parametric tests, especially in multi-day windows. The two nonparametric tests are mostly well specified, but neither is perfectly specified in all situations. The parametric standardized cross-sectional test can provide a useful robustness check but is less powerful than the nonparametric tests and rejects too often in single-market samples and when firm-specific events affect the market index. Local-currency market-model abnormal returns using national market indexes are sufficient.
Copyright OwnerElsevier B.V.
Citation InformationCynthia J. Campbell, Arnold R. Cowan and Valentina Salotti. "Multi-Country Event Study Methods" Journal of Banking & Finance Vol. 34 Iss. 12 (2010) p. 3078 - 3090
Available at: http://works.bepress.com/arnold_richard_cowan/1/