An Evaluation of Testing Procedures for Event Study

تحقیقات مالی

Mohammad hosein Ghaemi¹  javad Masoumi²  Ramin Rostami³ 

[1] Assistant Prof. in Accounting, Imam Khomeini International University (IKIU), Qazvin, Iran;M.Sc. In Accounting, Hazratee Masoumeh University (HMU), Qom, Iran;M.Sc. In Business Administration/Finance, Aras Institution, Tabriz, Iran;

关键词: event study;    trading volume;    abnormal return;    test statistic;    simulation;   

DOI  :  10.22059/jfr.2013.51061

来源: DOAJ

【 摘 要 】

This paper analyses efficiency of short horizon event study methodology in general and efficiency of various test statistics based on price and trading volume in the period (Iranian calendar) 1380:1389-q1 (2240 days) applying simulation method. We evaluate efficiency of 8 test statistics including parametric, non-parametric and induced variance statistics. We find various test statistics have enough power to detect abnormal return. One should not expect consistently detect abnormal returns of less than 1 percent.
 

【 授权许可】

Unknown