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Valid Inference in Single-Firm, Single-Event Studies.
- Source :
- American Law & Economics Review; Dec2013, Vol. 15 Issue 2, p495-541, 47p
- Publication Year :
- 2013
-
Abstract
- Single-firm event studies play an important role in both scholarship and litigation despite the general invalidity of standard inference. We use a broad cross-section of 2000–2007 CRSP data and find that the standard approach performs poorly in terms of both Type I and Type II error rates. We discuss a simple-to-use alternative, the SQ test, based on sample quantiles of the empirical distribution of pre-event fitted excess returns, which has correct asymptotic Type I error rate. Results suggest that the test will be useful in studying the impact of firm-specific events such as regulation, anti-trust rulings, and corporate or securities litigation. [ABSTRACT FROM PUBLISHER]
Details
- Language :
- English
- ISSN :
- 14657252
- Volume :
- 15
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- American Law & Economics Review
- Publication Type :
- Academic Journal
- Accession number :
- 91593701
- Full Text :
- https://doi.org/10.1093/aler/aht009