Dummy variable-based tests for event studies using multivariate regression are common in finance, especially for banking-related studies. These tests are not robust to nonnormality of the residual, even for arbitrarily large sample sizes. Such methods typically overstate the significance of the...

Parametric dummy variable-based tests for event studies using multivariate regression are not robust to nonnormality of the residual, even for arbitrarily large sample sizes. Bootstrap alternatives are described, investigated, and compared for cases where there are nonnormalities, and...