We analyze tests for long-run abnormal returns and document that two approaches yield well-specified test statistics in random samples. The first uses a traditional event study framework and buy-and-hold abnormal returns calculated using carefully constructed reference portfolios. Inference is...

Barber and Lyon (1996a) and Kothari and Warner (1996) document conventional tests of long-run abnormal returns are misspecified. In this research, we propose alternative methods to test for long-run abnormal returns. Our methods have two key characteristics. First, long-run abnormal returns are...

Barber and Lyon (1997a) and Kothari and Warner (1997) document that standard tests of long-run abnormal returns are misspecified. In this research, we evaluate alternative methods to test for long-run abnormal returns. We document that two general approaches yield well-specified test statistics...