Abstract

http://ssrn.com/abstract=847791
 
 

References (8)



 
 

Citations (2)



 


 



A Simple-But-Powerful Test for Long-Run Event Studies


Gitit Gur-Gershgoren


Israel Securities Authority

Jaime F. Zender


University of Colorado at Boulder - Department of Finance

Eric N. Hughson


Claremont Colleges - Robert Day School of Economics and Finance

October 2, 2008

Robert Day School of Economics and Finance Research Paper No. 2008-8

Abstract:     
Testing for long-run abnormal performance has become an increasingly important part of the finance literature. We propose a test for abnormal performance in long-run event studies using the buy and hold abnormal return (BHAR). We augment the control firm approach of Barber and Lyon (1997) by using multiple control firms to create multiple correlated BHARs for each sample firm. Using the control firm structure allows us to avoid the new listing, rebalancing, and skewness biases. Further, despite the correlation amongst the BHARs, using multiple control firms allows us to increase the power of the test beyond that of existing tests. Finally, we show that our test is well-specified in both random and nonrandom samples.

Number of Pages in PDF File: 44

Keywords: Long-run event study methodology

JEL Classification: C15, G14

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Date posted: November 16, 2005  

Suggested Citation

Gur-Gershgoren, Gitit and Zender, Jaime F. and Hughson, Eric N., A Simple-But-Powerful Test for Long-Run Event Studies (October 2, 2008). Robert Day School of Economics and Finance Research Paper No. 2008-8. Available at SSRN: http://ssrn.com/abstract=847791 or http://dx.doi.org/10.2139/ssrn.847791

Contact Information

Gitit Gur-Gershgoren
Israel Securities Authority ( email )
22 Kanfei Nesharim Street
Jerusalem 95464
Israel
Jaime F. Zender
University of Colorado at Boulder - Department of Finance ( email )
Boulder, CO 80309
United States
303-554-1665 (Phone)
303-492-4689 (Fax)
HOME PAGE: http://www-bus.colorado.edu/faculty/Zender/
Eric N. Hughson (Contact Author)
Claremont Colleges - Robert Day School of Economics and Finance ( email )
500 E. Ninth St.
Claremont, CA 91711-6420
United States
909-607-3664 (Phone)
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