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Conducting event studies on a small stock exchange

Research output: Working paperResearch

Standard

Conducting event studies on a small stock exchange. / Bartholdy, Jan; Olson, Dennis; Peare, Paula.

Aarhus : Aarhus School of Business, Department of Business Studies, 2006. p. 39.

Research output: Working paperResearch

Harvard

Bartholdy, J, Olson, D & Peare, P 2006 'Conducting event studies on a small stock exchange' Aarhus School of Business, Department of Business Studies, Aarhus, pp. 39.

APA

Bartholdy, J., Olson, D., & Peare, P. (2006). Conducting event studies on a small stock exchange. (pp. 39). Aarhus: Aarhus School of Business, Department of Business Studies.

CBE

Bartholdy J, Olson D, Peare P. 2006. Conducting event studies on a small stock exchange. Aarhus: Aarhus School of Business, Department of Business Studies. pp. 39.

MLA

Bartholdy, Jan, Dennis Olson and Paula Peare Conducting event studies on a small stock exchange. 39. Aarhus: Aarhus School of Business, Department of Business Studies. 2006,

Vancouver

Bartholdy J, Olson D, Peare P. Conducting event studies on a small stock exchange. Aarhus: Aarhus School of Business, Department of Business Studies. 2006, p. 39.

Author

Bartholdy, Jan ; Olson, Dennis ; Peare, Paula. / Conducting event studies on a small stock exchange. Aarhus : Aarhus School of Business, Department of Business Studies, 2006. pp. 39

Bibtex

@techreport{c159a7f0dc2511dab43c000ea68e967b,
title = "Conducting event studies on a small stock exchange",
abstract = "This paper analyses whether it is possible to perform an event study on a small stock exchange with thinly trade stocks. The main conclusion is that event studies can be performed provided that certain adjustments are made. First, a minimum of 25 events appears necessary to obtain acceptable size and power in statistical tests. Second, trade to trade returns should be used. Third, one should not expect to consistently detect abnormal performance of less than about 1{\%} (or perhaps even 2{\%}), unless the sample contains primarily thickly traded stocks. Fourth, nonparametric tests are generally preferable to parametric tests of abnormal performance. Fifth, researchers should present separate results for thickly and thinly traded stock groups. Finally, when nonnormality, event induced variance, unknown event day, and problems of very thin trading are all considered simultaneously, no one test statistic or type of test statistic dominates the others.",
author = "Jan Bartholdy and Dennis Olson and Paula Peare",
year = "2006",
language = "English",
pages = "39",
publisher = "Aarhus School of Business, Department of Business Studies",
type = "WorkingPaper",
institution = "Aarhus School of Business, Department of Business Studies",

}

RIS

TY - UNPB

T1 - Conducting event studies on a small stock exchange

AU - Bartholdy, Jan

AU - Olson, Dennis

AU - Peare, Paula

PY - 2006

Y1 - 2006

N2 - This paper analyses whether it is possible to perform an event study on a small stock exchange with thinly trade stocks. The main conclusion is that event studies can be performed provided that certain adjustments are made. First, a minimum of 25 events appears necessary to obtain acceptable size and power in statistical tests. Second, trade to trade returns should be used. Third, one should not expect to consistently detect abnormal performance of less than about 1% (or perhaps even 2%), unless the sample contains primarily thickly traded stocks. Fourth, nonparametric tests are generally preferable to parametric tests of abnormal performance. Fifth, researchers should present separate results for thickly and thinly traded stock groups. Finally, when nonnormality, event induced variance, unknown event day, and problems of very thin trading are all considered simultaneously, no one test statistic or type of test statistic dominates the others.

AB - This paper analyses whether it is possible to perform an event study on a small stock exchange with thinly trade stocks. The main conclusion is that event studies can be performed provided that certain adjustments are made. First, a minimum of 25 events appears necessary to obtain acceptable size and power in statistical tests. Second, trade to trade returns should be used. Third, one should not expect to consistently detect abnormal performance of less than about 1% (or perhaps even 2%), unless the sample contains primarily thickly traded stocks. Fourth, nonparametric tests are generally preferable to parametric tests of abnormal performance. Fifth, researchers should present separate results for thickly and thinly traded stock groups. Finally, when nonnormality, event induced variance, unknown event day, and problems of very thin trading are all considered simultaneously, no one test statistic or type of test statistic dominates the others.

M3 - Working paper

SP - 39

BT - Conducting event studies on a small stock exchange

PB - Aarhus School of Business, Department of Business Studies

CY - Aarhus

ER -