Journal of Financial Economics Vol. 43 No. 3 1997
Measuring long-horizon security price performance
open access
Abstract
Our simulation results show that tests for long-horizon (i.e.. multi-year) abnormal security returns around firm-specific events are severely misspecified. The rejection frequencies using parametric tests sometimes exceed 30% when the significance level of the test is 5%. Our results are robust to many different abnormal-return models. Conclusions from long-horizon studies require extreme caution. Nonparametric and bootstrap tests are likely to reduce misspecification.
- DOI
- 10.1016/s0304-405x(96)00899-9
- Volume
- 43
- Issue
- 3
- Pages
- 301-339
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib