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st: Wilcoxon symmetry


From   "Simone Spleis" <simonespleis@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Wilcoxon symmetry
Date   Sat, 06 Mar 2010 20:36:07 +0100

Dear all,

I am implementing an event study and testing absolute(!) abnormal returns since I cannot classify the news (positive or negative). Now I am trying to find a cross-sectional test for detecting abnormal returns on the event date. In a paper I read that the author implemented the Wilcoxon-signed-rank-test for the event date. But this test assumes a symmetric distribution, or am I mistaken? Since absolute abnormal returns will not be symmetric (something close to a half-normal-distribution) I am therefore looking for a test that does the trick to avoid the symmetry assumption and still detects abnormal performance.

I would greatly appreciate a hint!

Best regards,

Simone
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