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Multi-country event-study methods
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DOI：10.1016/j.jbankfin.2010.07.016.png)
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Abstract
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We provide the first simulation evidence of event-study test performance in multi-country non-US 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. (C) 2010 Elsevier B.V. All rights reserved.
Keywords:
Event-study methodology
Datastream
Stock-price reaction
International finance
Market-moving events
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