Measuring long-horizon security price performance
Article Abstract:
Parametric long-horizon tests of abnormal security returns among firm-specific events are found to reflect abnormal performance often when it is non-existent. The Barber and Lyon simulation procedures, which focus on parametric statistical tests, show strong evidences of misspecifications for commonly used matching procedures. Bootstrap procedures, which use return data for samples, can address biases in both the measure of abnormal performance and standard deviation. These tests, combined with matched-portfolio approaches, are prescribed as procedures likely to lessen misspecification in measuring security price performance.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1997
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Detecting abnormal operating performance: the empirical power and specification of test statistics
Article Abstract:
Event study methodologies using accounting-based measures of operating performance are evaluated. The study examines three choices that have to be made in designing a test: selecting from among five measures of operating performance, comparing two statistical tests, and comparing nine models of expected operating performance. Results indicate that the more popular research designs generate misspecified test statistics when the performance of the sample companies is weak or strong.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1996
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Detecting long-run abnormal stock returns: the empirical power and specification of test statistics
Article Abstract:
The empirical power and specification of test statistics employed in event studies of abnormal stock returns are analyzed. Using a reference portfolio, test statistics based on abnormal returns reveal misspecification. Such misspecification can be corrected by grouping sample firms with control companies which are of the same size and have similar book-to-market ratios.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1997
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