Abstract

This paper investigates whether the calendar time methodology lacks power in detecting the long-run abnormalperformance of the firms after major corporate events. In addition, the study proposes a variant of calendar timeapproach by standardizing the abnormal returns of the event firms forming the monthly portfolios. To assess therobustness of the modified method, the results from buy-and-hold abnormal return approach and the meanmonthly calendar time abnormal return method are also reported. The empirical analysis documents that theproposed approach improves the power in random samples and in samples with small firms and with calendarclustering.

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