Multi-Country Event Study Methods

Posted: 19 Mar 2009 Last revised: 10 Nov 2015

See all articles by Cynthia J. Campbell

Cynthia J. Campbell

Iowa State University - Department of Accounting and Finance

Arnold R. Cowan

Iowa State University

Valentina Salotti

Iowa State University

Date Written: July 9, 2010

Abstract

We provide the first simulation evidence of event-study test performance in multi-country non-U.S. samples. The nonparametric rank and generalized sign tests are more powerful than two common parametric tests, especially in multi-day windows. The two nonparametric tests are mostly well specified, but neither is perfectly specified in all situations. The parametric standardized cross-sectional test can provide a useful robustness check but is less powerful than the nonparametric tests and rejects too often in single-market samples and when firm-specific events affect the market index. Local-currency market model abnormal returns using national market indexes are sufficient.

Keywords: event study methodology, Datastream, stock-price reaction, international finance, market-moving events

JEL Classification: G14

Suggested Citation

Campbell, Cynthia J. and Cowan, Arnold R. and Salotti, Valentina, Multi-Country Event Study Methods (July 9, 2010). Available at SSRN: https://ssrn.com/abstract=1359798 or http://dx.doi.org/10.2139/ssrn.1359798

Cynthia J. Campbell

Iowa State University - Department of Accounting and Finance ( email )

Carver Hall
Ames, IA 50011-2063
United States
515-294-8104 (Phone)
515-294-3525 (Fax)

Arnold R. Cowan

Iowa State University ( email )

College of Business
3344 Gerdin Business Building
Ames, IA 50011-1350
United States

HOME PAGE: http://www.bus.iastate.edu/arnie

Valentina Salotti (Contact Author)

Iowa State University ( email )

613 Wallace Road
Ames, IA 50011-2063
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
2,548
PlumX Metrics