Bm. Barber et Jd. Lyon, DETECTING ABNORMAL OPERATING PERFORMANCE - THE EMPIRICAL POWER AND SPECIFICATION OF TEST STATISTICS, Journal of financial economics, 41(3), 1996, pp. 359-399
This research evaluates methods used in event studies that employ acco
unting-based measures of operating performance. We examine the choice
of an accounting-based performance measure, a statistical test, and a
model of expected operating performance. We document the impact of the
se choices on the test statistics designed to detect abnormal operatin
g performance. We find that commonly used research designs yield test
statistics that are misspecified in cases where sample firms have perf
ormed either unusually well or poorly. In this sampling situation, the
test statistics are only well specified when sample firms are matched
to control firms of similar pre-event performance.