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Nonparametric Tests for Event Studies by bartjanwobben is a document available to read on EtoBox.

What is Nonparametric Tests for Event Studies about?

This paper examines the generalized sign test for event studies, documenting its power and specification through simulations with stock return data. The results indicate that the generalized sign test is a viable alternative to the rank test, especially under conditions of increased return variance and longer event windows. The findings suggest that the generalized sign test maintains low rejection rates under the null hypothesis, making it more reliable for analyzing abnormal stock returns.

Author

bartjanwobben

Language

EN