Measuring long-horizon security price performance

• 成果类型: Article
• 署名作者: Kothari, SP; Warner, JB
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(96)00899-9
• 发表日期: 1997
• 页码: 301-339
• 关键词: event studies; long-horizon performance; Abnormal returns

摘要

Our simulation results show that rests for long-horizon (i.e., multi-year) abnormal security returns around firm-specific events are severely misspecified. The rejection frequencies using parametric tests sometimes exceed 30% when the significance level of the test is 5%. Our results are robust to many different abnormal-return models, Conclusions from long-horizon studies require extreme caution. Nonparametric and bootstrap tests are likely to reduce misspecification.