MEASURING SECURITY PRICE PERFORMANCE USING DAILY NASDAQ RETURNS
成果类型：
Article
署名作者：
CAMPBELL, CJ; WASLEY, CE
署名单位：
Washington University (WUSTL); University of Massachusetts System; University of Massachusetts Amherst
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(93)90025-7
发表日期：
1993
页码：
73-92
关键词：
摘要：
We evaluate the performance of alternative test statistics in event studies which include NASDAQ daily security returns. We document varying degrees of test statistic misspecification in NASDAQ samples. In particular, we find that the commonly used standardized test statistic is misspecified in most settings. Although less pervasive, misspecification is also evident in the portfolio test statistic estimated using the time series of portfolio mean abnormal returns. The nonparametric rank statistic [introduced in Corrado (1989)] performs the best overall in NASDAQ samples; we recommend its use with market model abnormal returns based on an equal-weighted NASDAQ market index.