Dear All,
I'm conducting an event study for a sample of 25 firms that each gone through certain yearly event (inclusion in an index).
(The 25 firms (events) are collected from last 5 years.)
I'm using daily price abnormal returns (AR), and consolidated horizontally the daily returns for the 25 firms to get daily "Average abnormal Returns" (AAR).
Estimation Window (before the event)= 119 days
Event Window = 30 days
1- I tested the significance of daily AAR through a t-test and corresponding P-value, How can i calculate the statistical power for those daily P-values?
(significance level used=.0.05, 2 tailed)
2- I calculated "Commutative Average Abnormal Returns" (CAAR) for some period in the event window, performed a significance test for it by t-test and corresponding P-value, how can i calculate the statistical power of this CAAR significance test?
(significance level used=.0.05, 2 tailed)
Thank you for your help and guidance.
Ahmed Samy
I think too small to apply tests. However, it suits best for the descriptive-analytical framework.
Thank you Dr.Muhammad for your reply.
I need to estimate the power anyhow of t-test for the validity of the study
How can i do that ?
https://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=&cad=rja&uact=8&ved=2ahUKEwiShv7Dxe3rAhXhlFwKHfP6DGgQFjADegQICBAB&url=https%3A%2F%2Fstats.stackexchange.com%2Fquestions%2F51295%2Fcomparison-of-ranked-lists&usg=AOvVaw23OI-bZXy8CQz288aiMkkn