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Re: st: Wilcoxon symmetry


From   Kaspar Dardas <kaspar.dardas@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Wilcoxon symmetry
Date   Sun, 7 Mar 2010 08:13:57 +0100

Hi Simone,

check out Corrado’s (1989) rank test.

CORRADO, C.J. (1989), A non parametric test for abnormal security
price performance in
event studies, Journal of Financial Economics, vol. 23: pp. 385-395.

Please let m know if this has helped.

Best,

Kaspar

2010/3/6 Simone Spleis <simonespleis@gmx.de>
>
> 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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