Multi-Country Event Study Methods

Date
2010-11-01
Authors
Cowan, Arnold
Campbell, Cynthia
Cowan, Arnold
Salotti, Valentina
Campbell, Cynthia
Major Professor
Advisor
Committee Member
Journal Title
Journal ISSN
Volume Title
Publisher
Altmetrics
Authors
Research Projects
Organizational Units
Finance
Organizational Unit
Journal Issue
Series
Department
Finance
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.

Description
Keywords
Citation
DOI
Collections