- Multi-Country Event Study Methods
- Salotti, Valentina <1980>
Subject
- 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.
Date
- 2009-05-04
Type
- Doctoral Thesis
- PeerReviewed
Format
- application/pdf
Identifier
urn:nbn:it:unibo-1181
Salotti, Valentina (2009) Multi-Country Event Study Methods, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Mercati e intermediari finanziari