Ang, James S.; Zhang, Shaojun - In: Review of Quantitative Finance and Accounting 23 (2004) 3, pp. 251-274
We conduct a comprehensive simulation study to evaluate testing procedures for long horizon event studies. The … testing procedures suffer substantial loss of power quickly as event horizon increases, especially for samples of small firms …-intensive bootstrap test has low power for long event horizons. Moreover, unless the number of event firms in a study is very large, all …