Campbell, Cynthia J.; Cowan, Arnold R.; Salotti, Valentina - In: Journal of Banking & Finance 34 (2010) 12, pp. 3078-3090
We provide the first simulation evidence of event-study test performance in multi-country non-US samples. The nonparametric rank and generalized sign tests are more powerful than two common parametric tests, especially in multi-day windows. The two nonparametric tests are mostly well specified,...