Journal of Banking & Finance Vol. 34 No. 12 2010
Multi-country event-study methods
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.
- DOI
- 10.1016/j.jbankfin.2010.07.016
- Volume
- 34
- Issue
- 12
- Pages
- 3078-3090
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib