Corrado, Charles J.; Truong, Cameron - In: Pacific-Basin Finance Journal 16 (2008) 5, pp. 493-521
We investigate the effectiveness of several well-known parametric and non-parametric event study test statistics with … and power of the sign test in event study hypothesis tests using daily stock returns, Journal of Financial and … Quantitative Analysis 27(3), 465-478)] and a sign test [Cowan (Cowan, A.R., 1992, Non-parametric event study tests, Review of …