SECS-S/02 Statistica per la ricerca sperimentale e tecnologica
SECS-P/11 Economia degli intermediari finanziari
Description
Which event study methods are best in non-U.S. multi-country samples? Nonparametric
tests, especially the rank and generalized sign, are better specified and more powerful
than common parametric tests, especially in multi-day windows. The generalized sign
test is the best statistic but must be applied to buy-and-hold abnormal returns for correct
specification. Market-adjusted and market-model methods with local market indexes,
without conversion to a common currency, work well. The results are robust to limiting
the samples to situations expected to be problematic for test specification or power. Applying
the tests that perform best in simulation to merger announcements produces reasonable
results.
Salotti, Valentina (2009) Multi-Country Event Study Methods, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Mercati e intermediari finanziari , 21 Ciclo. DOI 10.6092/unibo/amsdottorato/1252.