Interacting Biases, Non-Normal Return Distributions and the Performance of Tests for Long-Horizon Event Studies

By A. Cowan, A. Sergeant. 2000

87 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/71dee2345c039f0e860997debf74157bfc5f763e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Vinod R. Singhal
2. Yongtae Kim
3. Kevin B. Hendricks
4. H. Jo
5. P. Sudarsanam
6. A. Mahate
7. Maretno Agus Harjoto
8. Jinhua Cui

In Finance

1. H. Jo
2. P. Sudarsanam
3. A. Mahate
4. Vinod R. Singhal
5. Kevin B. Hendricks
6. Yongtae Kim
7. Eitan Naveh
8. Alfred A. Marcus

In Strategy and Management

1. Yongtae Kim
2. Vinod R. Singhal
3. H. Jo
4. Kevin B. Hendricks
5. P. Sudarsanam
6. A. Mahate
7. Maretno Agus Harjoto
8. Jinhua Cui

Citations in the corpus

• An Empirical Analysis of the Effect of Supply Chain Disruptions on Long‐Run Stock Price Performance and Equity Risk of the Firm (2005, methodology): “Using One-to-One Match Samples Even under the null hypotheses of no abnormal performance, the portfolio matching approach can result in positively skewed long-term abnormal returns (Cowan and Sergeant 2001), which can inflate the mean abnormal returns and bias some test statistics.”
• Do Managers Intentionally Use Repurchase Tender Offers to Signal Private Information? Evidence from Firm Financial Reporting Behavior (2007, unknown): “skewness biases in long-term buy-and-hold returns ( Cowan and Sergeant, 2001 ).”
• Disclosure frequency and earnings management (2007, background): “Using long-run measures of abnormal returns suggested by Barber and Lyon (1997) and Cowan and Sergeant (2001), he finds the coefficient estimate in the regression of post-issue abnormal returns on pre-issue abnormal accruals to be insignificant and often to have the wrong sign.”
• Are Friendly Acquisitions Too Bad for Shareholders and Managers? Long-Term Value Creation and Top Management Turnover in Hostile and Friendly Acquirers (2006, methodology): “We minimize the skewness problem, as recommended by Cowan and Sergeant (2001) by winsorizing our sample distributions by re-setting extreme outliers to 2 standard deviations from the sample mean APR. Mitchell and Stafford (2000) show that correlated BHARs arising from overlapping event windows of…”