MEASURING SECURITY PRICE PERFORMANCE USING CHILEAN DAILY STOCK RETURNS: THE EVENT STUDY METHOD

MEASURING SECURITY PRICE PERFORMANCE USING CHILEAN DAILY STOCK RETURNS: THE EVENT STUDY METHOD

Following the Brown-Warner simulation approach and using Chilean daily security returns data, we examine the specification and power of three parametric t-tests commonly used in event studies: the standardized, the cross-sectional and the portfolio t-test. Our findings show that even though symptoms...

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Autores principales: SAENS,RODRIGO, SANDOVAL,EDUARDO
Lenguaje:English
Publicado: Instituto de Economía, Pontificia Universidad Católica de Chile 2005
Materias:
Event Studies Method
Specification Tests
Acceso en línea:http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212005012600005
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