Test statistics with event-induced variance: evidence from stock dividend

• Main Authors: Ng, Chee Pung, Choo, Wei Chong, Amin Noordin, Bany Ariffin, Md Nassir, Annuar
• Format: Article
• Language: English
• Published: Universiti Putra Malaysia Press 2019
• Online Access: http://psasir.upm.edu.my/id/eprint/76451/1/42%20JSSH-1988-2016.pdf; http://psasir.upm.edu.my/id/eprint/76451/; http://www.pertanika.upm.edu.my/Pertanika%20PAPERS/JSSH%20Vol.%2027%20(4)%20Dec.%202019/42%20JSSH-1988-2016.pdf

Even though many researchers have found the problem of event-induced variance in event studies, they are tended to neglect these hazards by using conventional event-study methods, such as the Patell test. This test tends to reject the null hypothesis of zero average abnormal returns too often when i...