Measuring long-horizon security price performance
模拟发现，检验公司事件前后多年异常收益的统计方法存在严重设定错误，参数检验在5%显著性水平下拒绝率有时超过30%，结论需谨慎，非参数和自助法可能减少误设。
Our simulation results show that tests for long-horizon (i.e.. multi-year) abnormal security returns around firm-specific events are severely misspecified. The rejection frequencies using parametric tests sometimes exceed 30% when the significance level of the test is 5%. Our results are robust to many different abnormal-return models. Conclusions from long-horizon studies require extreme caution. Nonparametric and bootstrap tests are likely to reduce misspecification.