Event Study

Table 2. Rejection rates of test statistics: no event-induced variance
This table presents our simulation results for the six sub-periods with deterministic shocks. The simulation procedure
is described in Section 2. The sample size is N. CMRM, BETA and MM are respectively the constant mean return
model, the beta model and the market model return-generating processes. BW, BMP and RANK refer to the Brown
and Warner (1980), Boehmer et al. (1991) and Corrado’s (1989) tests, respectively. The event-induced return is 0%
for the specification analysis and +1% for the power analysis.
Panel A. Specification
N=50
CMRM
BW
BETA MM CMRM
BMP
BETA MM CMRM
RANK
BETA MM
1976–1980 4.70% 4.70% 5.20% 4.50% 2.80% 3.70% 1.50% 2.30% 2.50%
1981–1985 5.00% 4.90% 4.50% 5.10% 5.80% 4.50% 4.90% 7.00% 5.40%
1986–1990 6.30% 6.90% 6.00% 3.80% 3.80% 4.00% 2.90% 1.80% 1.90%
1991–1995 5.00% 4.20% 5.00% 4.50% 2.50% 4.40% 2.90% 1.40% 1.50%
1996–2000 5.40% 5.30% 5.80% 3.90% 3.90% 4.10% 2.60% 4.10% 2.80%
2001–2004 3.60% 3.80% 4.30% 4.20% 3.00% 4.20% 2.90% 3.50% 3.20%
N=200
CMRM
BW
BETA MM CMRM
BMP
BETA MM CMRM
RANK
BETA MM
1976–1980 7.00% 4.40% 5.70% 3.70% 1.60% 2.30% 66.30% 3.20% 3.80%
1981–1985 5.00% 5.60% 4.30% 3.70% 5.10% 3.90% 51.90% 5.20% 5.30%
1986–1990 6.50% 8.00% 7.20% 4.30% 5.70% 5.40% 30.20% 6.00% 6.70%
1991–1995 4.70% 4.30% 5.10% 4.60% 3.00% 4.80% 24.40% 4.80% 4.20%
1996–2000 4.20% 4.40% 4.80% 4.10% 3.40% 3.90% 9.60% 5.90% 4.80%
2001–2004 5.40% 4.60% 4.10% 6.60% 4.10% 5.30% 6.00% 5.20% 5.20%
Panel B. Power
N=50
CMRM
BW
BETA MM CMRM
BMP
BETA MM CMRM
RANK
BETA MM
1976–1980 89.4% 90.3% 91.6% 98.0% 98.4% 98.8% 99.9% 99.6% 99.6%
1981–1985 86.9% 89.3% 89.1% 96.5% 97.2% 96.9% 99.9% 99.9% 99.9%
1986–1990 56.0% 58.8% 59.0% 84.9% 88.7% 89.3% 97.0% 97.7% 97.7%
1991–1995 49.5% 49.9% 51.3% 87.9% 86.5% 89.2% 96.5% 96.4% 96.3%
1996–2000 44.7% 45.1% 48.2% 85.0% 82.9% 87.1% 93.1% 92.5% 94.8%
2001–2004 57.9% 60.5% 62.7% 93.8% 93.7% 95.2% 98.0% 98.6% 99.1%
N=200
CMRM
BW
BETA MM CMRM
BMP
BETA MM CMRM
RANK
BETA MM
1976–1980 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
1981–1985 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
1986–1990 97.5% 98.3% 97.7% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
1991–1995 94.8% 94.5% 95.4% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
1996–2000 93.9% 95.1% 94.3% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
2001–2004 99.8% 99.9% 99.9% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
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