Multi-Country Event Study Methods

Which event study methods are best in non-U.S. multi-country samples? Nonparametric tests, especially the rank and generalized sign, are better specified and more powerful than common parametric tests, especially in multi-day windows. The generalized sign test is the best statistic but must be ap...

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Bibliographic Details
Main Author:	Salotti, Valentina <1980>
Other Authors:	Cenni, Stefano
Format:	Doctoral Thesis
Language:	en
Published:	Alma Mater Studiorum - Università di Bologna 2009
Subjects:	SECS-S/02 Statistica per la ricerca sperimentale e tecnologica SECS-P/11 Economia degli intermediari finanziari
Online Access:	http://amsdottorato.unibo.it/1252/

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spelling	ndltd-unibo.it-oai-amsdottorato.cib.unibo.it-12522014-03-24T16:27:39Z Multi-Country Event Study Methods Salotti, Valentina <1980> SECS-S/02 Statistica per la ricerca sperimentale e tecnologica SECS-P/11 Economia degli intermediari finanziari Which event study methods are best in non-U.S. multi-country samples? Nonparametric tests, especially the rank and generalized sign, are better specified and more powerful than common parametric tests, especially in multi-day windows. The generalized sign test is the best statistic but must be applied to buy-and-hold abnormal returns for correct specification. Market-adjusted and market-model methods with local market indexes, without conversion to a common currency, work well. The results are robust to limiting the samples to situations expected to be problematic for test specification or power. Applying the tests that perform best in simulation to merger announcements produces reasonable results. Alma Mater Studiorum - Università di Bologna Cenni, Stefano 2009-05-04 Doctoral Thesis PeerReviewed application/pdf en http://amsdottorato.unibo.it/1252/ info:eu-repo/semantics/openAccess
collection	NDLTD
language	en
format	Doctoral Thesis
sources	NDLTD
topic	SECS-S/02 Statistica per la ricerca sperimentale e tecnologica SECS-P/11 Economia degli intermediari finanziari
spellingShingle	SECS-S/02 Statistica per la ricerca sperimentale e tecnologica SECS-P/11 Economia degli intermediari finanziari Salotti, Valentina <1980> Multi-Country Event Study Methods
description	Which event study methods are best in non-U.S. multi-country samples? Nonparametric tests, especially the rank and generalized sign, are better specified and more powerful than common parametric tests, especially in multi-day windows. The generalized sign test is the best statistic but must be applied to buy-and-hold abnormal returns for correct specification. Market-adjusted and market-model methods with local market indexes, without conversion to a common currency, work well. The results are robust to limiting the samples to situations expected to be problematic for test specification or power. Applying the tests that perform best in simulation to merger announcements produces reasonable results.
author2	Cenni, Stefano
author_facet	Cenni, Stefano Salotti, Valentina <1980>
author	Salotti, Valentina <1980>
author_sort	Salotti, Valentina <1980>
title	Multi-Country Event Study Methods
title_short	Multi-Country Event Study Methods
title_full	Multi-Country Event Study Methods
title_fullStr	Multi-Country Event Study Methods
title_full_unstemmed	Multi-Country Event Study Methods
title_sort	multi-country event study methods
publisher	Alma Mater Studiorum - Università di Bologna
publishDate	2009
url	http://amsdottorato.unibo.it/1252/
work_keys_str_mv	AT salottivalentina1980 multicountryeventstudymethods
_version_	1716653902257979392

Multi-Country Event Study Methods

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