Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/280778 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 425
Version Description: 
This version: November 2023
Publisher: 
University of Zurich, Department of Economics, Zurich
Abstract: 
Return event studies generally involve several firms but there are also cases when only one firm 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 firms (by using a relevant central limit theorem, say) to design hypothesis tests. We propose a permutation test which is of nonparametric nature and more generally valid than the tests that have previously been 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.
Subjects: 
Cumulative abnormal return
event study
permutation test
JEL: 
C12
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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