Conceptual and statistical problems related with the estimation and testing of abnormal long-term returns: State of the art.

Market efficiency has been questioned in the last years as several papers found abnormal returns economically and statistically significant over long horizons after main firm decisions. Nevertheless, the conceptual and statistical problems related with the estimation and test of long-term returns have supposed that the evidence obtained pass to be qualified as anomaly. Given the scarce proliferation of this sort of studies in our market and the unfortunate development of some of them, we present these problems and some of the solutions that the literature proposes. In this way, we seek to facilitate to the investigators the necessary tools to approach with success in this suggestive topic.