Abnormal Returns

19 Pages Posted: 11 May 2001

See all articles by Robert Savickas

Robert Savickas

George Washington University - School of Business - Department of Finance

Date Written: March 2001


This paper analyzes a simple test statistic for abnormal returns in the presence of stochastic volatility during both event and non-event windows and in the presence of event-induced variance increase. Unlike previous tests, the parametric test evaluated here does not require that the volatility effect of the event be the same across all securities. Simulations show that the test exhibits non-trivial gains in power over the previous parametric and non-parametric tests. At the same time, the true null hypothesis is rejected at appropriate levels.

Keywords: Stochastic volatility, event studies, GARCH

JEL Classification: G14, C10

Suggested Citation

Savickas, Robert, Abnormal Returns (March 2001). Available at SSRN: https://ssrn.com/abstract=265853 or http://dx.doi.org/10.2139/ssrn.265853

Robert Savickas (Contact Author)

George Washington University - School of Business - Department of Finance ( email )

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