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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Corrado, C.J. Testing for abnormal security-price performance under conditions of event-period uncertainty. Rev Quant Finan Acc 3, 127–148 (1993). https://doi.org/10.1007/BF02407002
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DOI: https://doi.org/10.1007/BF02407002