Suppose that you have performed an event study to examine whether extra dividend payout affects firm...

 

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Suppose that you have performed an event study to examine whether extra dividend payout affects firm values. After aggregating the abnormal returns, you obtained CAR (s1,s2)=0.05CAR (s1,s2)=0.05, and Var(CAR (s1,s2)=0.02Var(CAR (s1,52)=0.02, where (s1, s2) is from the event window. What is your test statistics? What kind of distribution does this test statistics follow assuiming we have a large sample? Select one: a) The test statistics is 2.5. It follows a N(0,1) distribution. b) The test statistics is 4. It follows a x2(1)x2(1) distribution. c) The test statistics is 2.5. It follows a x2(1)x2(1) distribution. d) The test statistics is 0.35. It follows a N(0,1) distribution. Suppose that you have performed an event study to examine whether extra dividend payout affects firm values. After aggregating the abnormal returns, you obtained CAR (s1,s2)=0.05CAR (s1,s2)=0.05, and Var(CAR (s1,s2)=0.02Var(CAR (s1,52)=0.02, where (s1, s2) is from the event window. What is your test statistics? What kind of distribution does this test statistics follow assuiming we have a large sample? Select one: a) The test statistics is 2.5. It follows a N(0,1) distribution. b) The test statistics is 4. It follows a x2(1)x2(1) distribution. c) The test statistics is 2.5. It follows a x2(1)x2(1) distribution. d) The test statistics is 0.35. It follows a N(0,1) distribution.

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The test statistics in this case is the tstatistic which is calculated as ... View the full answer