Measuring Security Price Performance Using Chilean Daily Stock Returns: The Event Study Method

Rodrigo Saens () and Eduardo Sandoval

Latin American Journal of Economics-formerly Cuadernos de Economía, 2005, vol. 42, issue 126, 307-328

Abstract: Following the Brown-Warner simulation approach and using Chilean daily security returns data, we examine the specification and power of three parametric t-tests commonly used in event-studies: the standardized, the cross-sectional and the porfolio t-test.

Keywords: Event studies method; specification tests (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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Latin American Journal of Economics-formerly Cuadernos de Economía is currently edited by Raimundo Soto

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