EVENT-STUDY METHODOLOGY UNDER CONDITIONS OF EVENT-INDUCED VARIANCE
成果类型：
Article
署名作者：
BOEHMER, E; MUSUMECI, J; POULSEN, AB
署名单位：
American University; University System of Georgia; University of Georgia
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(91)90032-F
发表日期：
1991
页码：
253-272
关键词：
摘要：
Many authors have identified the hazards of ignoring event-induced variance in event studies. To determine the practical extent of the problem, we simulate an event with stochastic effects. We find that when an event causes even minor increases in variance, the most commonly-used methods reject the null hypothesis of zero average abnormal return too frequently when it is true, although they are reasonably powerful when it is false. We demonstrate that a simple adjustment to the cross-sectional techniques produces appropriate rejection rates when the null is true and equally powerful tests when it is false.