Suppose that you want to test the null hypothesis of no mean effect when event days are
Question:
Suppose that you want to test the null hypothesis of no mean effect when event days are completely clustered. The sample size is n = 100 firms and the test statistic applied is BMP due to its good sample properties. You estimate the value of tbmp = 2. 7 with p = 0. 007 in two-sided testing. As a result, you infer that the event effect is highly statistically significant. Since the average cross-sectional correlation of the abnormal returns is ¯ r = 0. 02, you argue that the small average cross-sectional correlation will not materially change the test results. Is this right?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
To determine if the small average crosssectional correlation will materially change the test results ...View the full answer
Answered By
Ali Khawaja
my expertise are as follows: financial accounting : - journal entries - financial statements including balance sheet, profit & loss account, cash flow statement & statement of changes in equity -consolidated statement of financial position. -ratio analysis -depreciation methods -accounting concepts -understanding and application of all international financial reporting standards (ifrs) -international accounting standards (ias) -etc business analysis : -business strategy -strategic choices -business processes -e-business -e-marketing -project management -finance -hrm financial management : -project appraisal -capital budgeting -net present value (npv) -internal rate of return (irr) -net present value(npv) -payback period -strategic position -strategic choices -information technology -project management -finance -human resource management auditing: -internal audit -external audit -substantive procedures -analytic procedures -designing and assessment of internal controls -developing the flow charts & data flow diagrams -audit reports -engagement letter -materiality economics: -micro -macro -game theory -econometric -mathematical application in economics -empirical macroeconomics -international trade -international political economy -monetary theory and policy -public economics ,business law, and all regarding commerce
1+ Reviews
10+ Question Solved
Related Book For 
Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
Question Posted:
