Interacting Biases, Non-Normal Return Distributions and the Performance of Parametric and Bootstrap Tests for Long- Horizon Event Studies

@inproceedings{Cowan1997InteractingBN,
  title={Interacting Biases, Non-Normal Return Distributions and the Performance of Parametric and Bootstrap Tests for Long- Horizon Event Studies},
  author={A. Cowan and A. Sergeant},
  year={1997}
}
We report simulations of abnormal buy-and-hold stock return tests. Using benchmark portfolios purged of new-listings and rebalancing biases, we find severe misspecification of parametric tests, due in part to skewness. We document a negative relation between skewness bias and sample size, and an overlapping-h orizons bias. Both biases become more severe as the holding period lengthens. The biases interact such that tests can be well-specified in one situation but not another. A two-groups test… Expand

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