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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
  • Phuong Anh Nguyen
  • Michael Wolf
Item Subtype Original Work
Refereed No
Status Published in final form
  • English
Journal Title Empirical Economics
Publisher Springer
Geographical Reach international
ISSN 0377-7332
Volume 66
Number 6
Page Range 2435 - 2450
Date 2024
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