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- Title
Single-firm inference in event studies via the permutation test.
- Authors
Nguyen, Phuong Anh; Wolf, Michael
- Abstract
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.
- Subjects
CENTRAL limit theorem; ABNORMAL returns; PERMUTATIONS
- Publication
Empirical Economics, 2024, Vol 66, Issue 6, p2435
- ISSN
0377-7332
- Publication type
Article
- DOI
10.1007/s00181-023-02530-7