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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Single-firm inference in event studies via the permutation test |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | No |
| Status | Published electronically before print/final form (Epub ahead of print) |
| Language |
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| Journal Title | Empirical Economics |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0377-7332 |
| Page Range | Epub ahead of print |
| 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 and cumulative abnormal return, 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. |
| Related URLs | |
| Digital Object Identifier | 10.1007/s00181-023-02530-7 |
| Other Identification Number | merlin-id:24308 |
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| Keywords | Economics and econometrics, social sciences (miscellaneous), mathematics (miscellaneous), statistics and probability, cumulative abnormal return, event study, permutation test |