Test statistics with event-induced variance: evidence from stock dividend
Even though many researchers have found the problem of event-induced variance in event studies, they are tended to neglect these hazards by using conventional event-study methods, such as the Patell test. This test tends to reject the null hypothesis of zero average abnormal returns too often when i...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/76451/1/42%20JSSH-1988-2016.pdf |