Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/268859 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
Working Paper No. 425
Verlag: 
University of Zurich, Department of Economics, Zurich
Zusammenfassung: 
Return event studies generally involve several companies but there are also cases when only one company is involved. This makes the relevant testing problems, abnormal return (AR) and cumulative abnormal return (CAR), more difficult since one cannot exploit the multitude of companies (by using a relevant central limit theorem, say). We propose a permutation test that is valid under weaker conditions than the tests that have previously proposed in the literature in this context. We address the question of the power of the test via a brief simulation study and also illustrate the method with two applications to real data.
Schlagwörter: 
Cumulative abnormal return
event study
permutation test
JEL: 
C12
G14
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
485.45 kB





Publikationen in EconStor sind urheberrechtlich geschützt.