Conducting Long-Run Event Studies in Asia-Pacific Security Markets

This paper investigates the robustness of existing long-run event study methodologies using the Asia-Pacific security market data. In doing so, the study employs the buy-and-hold abnormal return approach and the calendar time portfolio method to measure the return anomalies. Since each of these two widely used approaches has a number of potential pitfalls, we also use standardized calendar time approach (SCTA) of Dutta (2015). The empirical analysis shows that all the employed methods are effective in the selected Asia-Pacific security markets. Simulations also show that SCTA documents better specification and power than the conventional methodologies