Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/268859 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 425
Publisher: 
University of Zurich, Department of Economics, Zurich
Abstract: 
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.
Subjects: 
Cumulative abnormal return
event study
permutation test
JEL: 
C12
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
485.45 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.