Detecting long-run abnormal stock returns: The empirical power and specification of test statistics

• 成果类型: Article
• 署名作者: Barber, BM; Lyon, JD
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(96)00890-2
• 发表日期: 1997
• 页码: 341-372
• 关键词: event studies; firm size; book-to-market ratios

摘要

We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified (empirical rejection rates exceed theoretical rejection rates) and identify three reasons for this misspecification. We correct for the three identified sources of misspecification by matching sample firms to control firms of similar sizes and book-to-market ratios. This control firm approach yields well-specified rest statistics in virtually all sampling situations considered.