Multi-Country Event Study Methods

Which event study methods are best in non-U.S. multi-country samples? Nonparametric tests, especially the rank and generalized sign, are better specified and more powerful than common parametric tests, especially in multi-day windows. The generalized sign test is the best statistic but must be applied to buy-and-hold abnormal returns for correct specification. Market-adjusted and market-model methods with local market indexes, without conversion to a common currency, work well. The results are robust to limiting the samples to situations expected to be problematic for test specification or power. Applying the tests that perform best in simulation to merger announcements produces reasonable results.

Grantor dc:publisher

Alma Mater Studiorum - Università di Bologna

Year dc:date

2009

Author dc:creator

• Salotti, Valentina <1980>

Contributors dc:contributor

• Cenni, Stefano

• SECS-S/02 Statistica per la ricerca sperimentale e tecnologica
• SECS-P/11 Economia degli intermediari finanziari

Statement dc:rights

• info:eu-repo/semantics/openAccess

Language dc:language

en

Identifier

urn:nbn:it:unibo-1181

OAI identifier oai:identifier

oai:amsdottorato.cib.unibo.it:1252