Parametric and nonparametric event study tests : a review
Dutta, Anupam (2014-11-25)
Canadian Center of Science and Education (CCSE)
25.11.2014
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2020092575816
https://urn.fi/URN:NBN:fi-fe2020092575816
Kuvaus
vertaisarvioitu
©2014 by the authors. Published by Canadian Center of Science and Education (CCSE). This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, http://creativecommons.org/licenses/by/4.0/, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
©2014 by the authors. Published by Canadian Center of Science and Education (CCSE). This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, http://creativecommons.org/licenses/by/4.0/, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Tiivistelmä
This paper presents a modest attempt to review the existing methodologies for measuring short-run abnormal performance of firms following certain corporate events. In doing so, the study discusses different parametric as well as nonparametric testing procedures available in the literature. Reviewing the prior literature reveals that the nonparametric sign and rank tests are better specified than parametric procedures. However, in case of detecting the short-run anomalies, we document that nonparametric tests have higher power relative to standard parametric approaches.
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