Testing for abnormal security-price performance under conditions of event-period uncertainty |
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Authors: | Charles J Corrado |
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Institution: | (1) Finance Department, College of Business and Public Administration, University of Missouri, 65211 Columbia, MO |
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Abstract: | This paper examines an event study test procedure based on cumulative average residuals (CARs) and a boundary-crossing probability
for Brownian motion. The boundary-crossing test procedure is designed to detect abnormal security-price performance under
conditions of event-period uncertainty. Simulations with daily security-return data show that the boundary-crossing test is
well specified under the null hypothesis and has good power properties under the alternative hypothesis of abnormal security-price
performance distributed over an event period of uncertain length. |
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Keywords: | Event study boundary-crossing test |
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