archive of the former site EconWPA.wustl.edu

Please do not link or reference this page. Use one of the following URLs:
econpapers.repec.org as http://econpapers.repec.org/paper/wpawuwpfi/9610002.htm
ideas.repec.org as http://ideas.repec.org/p/wpa/wuwpfi/9610002.html

Trading Frequency and Event Study Test Specification

Paper:ewp-fin/9610002
From:    
Date: Tue, 15 Oct 96 13:10:15 CDT

Title: Trading Frequency and Event Study Test Specification
Author: Arnold R. Cowan (Iowa State University) and Anne M.A. Sergeant (Iowa State University)
Contact:
Comments: Type of Document - Word 6.0/7.0; prepared on Windows; to print on PostScript; pages: 37. Forthcoming in Journal of Banking and Finance.
Keywords: event study research methods; trading volume; thin trading; nonparametric tests; Nasdaq
JEL: G14
EWPA-references:
Report-no: ARC-AMAS-001

Abstract:

We examine the effects of thin trading on the specification of event study tests. Simu-lations of upper and lower tail tests are reported with and without variance increases on the event date across levels of trading volume. The traditional standardized test is mis-specified for thinly traded samples. If return variance is unlikely to increase, then Cor-rado’s rank test provides the best specification and power. With variance increases, the rank test is misspecificed. The Boehmer et al. standardized cross-sectional test is properly specified, but not powerful, for upper-tailed tests. Lower-tailed alternative hy-potheses can best be evaluated using the generalized sign test.

Postscript files:(viewing .ps)       archive: 9610002.ps or 9610002.ps.gz is 77195 bytes, 8-23-97.
Acrobat pdf files:(viewing .pdf)       archive: 9610002.pdf is 102148 bytes, 9-16-96, or 9610002.pdf.gz
HTML File: (about HTML files)      archive: 9610002.html is 186711 bytes (not including gifs) 4-20-97.
DOC File:       archive: 9610002.doc
Access statistics for this paper at LogEc which is a part of the RePEc project as was/is EconWPA.
Translate to another language with babel.altavista.com EconWPA reference ewp-fin/9610002
RePEc reference RePEc:wpa:wuwpfi:9610002 send e-mail to

EconWPA began as a conversation between Bob Parks and Larry Blume on January 28, 1993. I located Paul Ginsparg's archive (then xxx.lanl.gov) and he graciously installed his software on a Sun Sparc system which was supporting the department of economics email and computation. EconWPA began accepting papers July 1, 1993 and had ftp, email, gopher and web interfaces. The web interface for submissions was engineered into existence in July 1995. A complete and catastrophic machine failure in 1999 caused the loss of EconWPA's email new paper announcment service at which time there were over 15,000 subscriptions with over 8,000 unique email addresses.

In 2005, Arts and Sciences commandeered the computing services that I had provided to the Department of Economics since 1987. Some might say that the department was sold out, others would (erroneously) claim that centralization is efficient, and still others would claim that I have few marketing skills.

I was told that I could keep operating EconWPA (as well as many other services including rfe.wustl.edu, barnett.wustl.edu, and three RePEc servers) but I would receive no support (hardware, software, or anthing else) and (as had been the case) no compensation. At that point, given the apparent low valuation of my activities by the department, and university, it made no sense for me to continue operating EconWPA or other services.

Thanks to all who have supported EconWPA in the past.

A Chinese curse states May you live in intersting times. I have. Bob Parks - Jan 2006