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Measuring long-horizon security price performance

Опубликовано на портале: 06-10-2004
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.



Статья используется в учебной программе Seminar in Corporate Finance (Howe J.S.)

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http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VBX-3SWV8XR-8&_user=10&_handle=W-WA-A-A-D-MsSAYZA-UUW-AUCAAZDCBV-WWUWWVECU-D-U&_fmt=summary&_coverDate=03%2F31%2F1997&_rdoc=2&_orig=browse&_srch=%23toc%235938%231997%23999569996%2312453!&_cdi=5938&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=936c11bc7cbbd3588f641b2d2f2ed441
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