Multi-country event-study methods

Cynthia J. Campbell, Arnold Cowan () and Valentina Salotti

Journal of Banking & Finance, 2010, vol. 34, issue 12, 3078-3090

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.

Keywords: Event-study; methodology; Datastream; Stock-price; reaction; International; finance; Market-moving; events (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (83)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:12:p:3078-3090

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