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Article
Multi-Country Event Study Methods
Journal of Banking & Finance
  • Cynthia J. Campbell, Iowa State University
  • Arnold R. Cowan, Iowa State University
  • Valentina Salotti, Iowa State University
Document Type
Article
Publication Date
11-1-2010
DOI
10.1016/j.jbankfin.2010.07.016
Abstract

We 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.

Comments

This is a post-print of an article from Journal of Banking & Finance, 34, no. 12 (2010): 3078–3090, doi:10.1016/j.jbankfin.2010.07.016.

Copyright Owner
Elsevier B.V.
Language
en
Date Available
August 1, 2013
File Format
application/pdf
Citation Information
Cynthia 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/