SSRN-A Generalized Rank Test for Testing Cumulative Abnormal Returns In Event Studies by James Kolari, Seppo Pynnonen:
"This paper proposes a generalized rank test that can be used both for testing cumulative abnormal returns as well as single abnormal returns. Empirical properties of the test statistics are studied with simulations using CRSP returns. The results show that the popular test statistics, like Patell, BMP, Corrado, as well as the adjusted Corrado-Zivney test tend to under-reject the null hypothesis as the CAR period increases. The suggested generalized rank test seems to avoid this bias. Furthermore, it is robust against the event imposed volatility and cross-correlation due to the event day clustering, and foremost it is more powerful than the standard parametric tests of Patell and BMP."Cite: Kolari, James W. and Pynnonen, Seppo,A Generalized Rank Test for Testing Cumulative Abnormal Returns In Event Studies(August 25, 2008).
Available at SSRN: http://ssrn.com/abstract=1254022