2010
DOI: 10.1016/j.jbankfin.2010.07.016
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Multi-country event-study methods

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 sin… Show more

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Cited by 178 publications
(68 citation statements)
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“…A very few, rather, concentrate on cross listing, target firms, and South Africa market (Mitchell & Kodongo, 2016;Smimou, 2015). However, their results could be erroneous due to some fatal methodological issues relating to the effect of cross-sectional volatility, serial dependency correlation changes, and induce-event heteroscedasticity (Campbell, Cowan, & Salotti, 2010). Earlier studies by Mushidzhi and Ward (2004) and Smit and Ward (2007) investigated the South African market response to M&A announcements.…”
Section: Short-term Market Performancementioning
confidence: 99%
“…A very few, rather, concentrate on cross listing, target firms, and South Africa market (Mitchell & Kodongo, 2016;Smimou, 2015). However, their results could be erroneous due to some fatal methodological issues relating to the effect of cross-sectional volatility, serial dependency correlation changes, and induce-event heteroscedasticity (Campbell, Cowan, & Salotti, 2010). Earlier studies by Mushidzhi and Ward (2004) and Smit and Ward (2007) investigated the South African market response to M&A announcements.…”
Section: Short-term Market Performancementioning
confidence: 99%
“…Following two widely used parametric and two non -parametric test statistics as recommended in the literature (Campbell et al, 2010;Corrado and Truong, 2008).…”
Section: Statistical Significance Of Event Returnsmentioning
confidence: 99%
“…For multi-day windows involving cumulative abnormal returns, we follow the suggestions of Campbell et al (2010) and incorporate in the aforementioned test of Patell a correction for the serial dependence in successive prediction errors that are based on the same parameter estimates. The procedure is based on the following two steps.…”
Section: Methodsmentioning
confidence: 99%