Purpose – The purpose of this paper is to demonstrate with real data the enhanced statistical power of a GLS-based event study methodology that requires the same input data as the traditional tests. Design/methodology/approach – The paper uses full sample, subsample and simulated modified...

Purpose – The purpose of this paper is to demonstrate with real data the enhanced statistical power of a GLS‐based event study methodology that requires the same input data as the traditional tests. Design/methodology/approach – The paper uses full sample, subsample and simulated modified...