Event Study

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Figure 1. Size-power curves for the BMP test This figure provides size-power curves for Boehmer et al.’s (1991) test (BMP) for different sample sizes (N=50, 100, 150 and 200). We have simulated an event-induced return of 1% and an event-induced increase in return volatility. Three different sub-periods, with different average idiosyncratic risk (IR) levels are simulated: 1976−1980 low IR; 2001−2004 median IR; and 1996−2000 high IR. 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% Power Panel A. N=50 Size 0% 0.0% 2.5% 5.0% 7.5% 10.0% 12.5% 15.0% 17.5% 20.0% 100% 95% 90% 85% 80% 75% Power [1976-1980] Panel B. N=100 [2001-2004] 23 [1976-1980] [2001-2004] [1996-2000] [1996-2000] Size 70% 0.0% 2.5% 5.0% 7.5% 10.0% 12.5% 15.0% 17.5% 20.0%
Page 1 and 2: Assessing the power and size of the
Page 3 and 4: test, the length of the estimation
Page 5 and 6: Warner (1980), Boehmer et al. (1991
Page 7 and 8: t ACAR N N 1 2 1 2⎛ ⎞ = ∑TEγ
Page 9 and 10: academic literature. Let us denote
Page 11 and 12: Sample construction. Our universe o
Page 13 and 14: ― The most recent sub-period (200
Page 15 and 16: As the portfolio size clearly plays
Page 17 and 18: frequency with which the average CA
Page 19 and 20: the ratio of idiosyncratic variance
Page 21: References Aktas, N., E. de Bodt an
Page 25 and 26: Table 1. Descriptive statistics Thi
Page 27 and 28: Table 3. Rejection rates of test st
Page 29: Table 5. Ratios of average idiosync

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