A nonparametric test for abnormal security-price performance in event studies

Bickel, 1977 Brown, 1980, Measuring security price performance, Journal of Financial Economics, 8, 205, 10.1016/0304-405X(80)90002-1 Brown, 1985, Using daily stock returns: The case of event studies, Journal of Financial Economics, 14, 3, 10.1016/0304-405X(85)90042-X Buckle, 1969, An approximation to the Wilcoxon-Mann-Whitney distribution, Journal of the American Statistical Association, 64, 591, 10.2307/2283641 Dyckman, 1984, A comparison of event study methodologies using daily stock returns: A simulation approach, Journal of Accounting Research, 22, 1, 10.2307/2490855 Fama, 1976 Jain, 1986, Analyses of the distribution of security market model prediction errors for daily returns data, Journal of Accounting Research, 24, 76, 10.2307/2490805 Lehman, 1975 Lehman, 1986 Stuart, 1987