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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Single-firm inference in event studies via the permutation test |
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| Institution | University of Zurich |
| Series Name | Working paper series / Department of Economics |
| Number | 425 |
| ISSN | 1664-7041 |
| Number of Pages | 18 |
| Date | 2023 |
| Abstract Text | Return event studies generally involve several firms but there are also cases when only one firm is involved. This makes the relevant testing problems, abnormal return (AR) and cumulative abnormal return (CAR), more difficult since one cannot exploit the multitude of firms (by using a relevant central limit theorem, say) to design hypothesis tests. We propose a permutation test which is of nonparametric nature and more generally valid than the tests that have previously been proposed in the literature in this context. We address the question of the power of the test via a brief simulation study and also illustrate the method with two applications to real data. |
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| Other Identification Number | merlin-id:23234 |
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| Keywords | Cumulative abnormal return, event study, permutation test |
| Additional Information | Revised version ; Former title: A note on testing AR and CAR for event studies |