Which of the following statements is NOT TRUE if you would like to do an...

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Finance

Which of the following statements is NOT TRUE if you would like to do an event study analysis to examine whether stock split affects firm values.

Select one:

a)

The abnormal returns can only be aggregated either across firms or through time.

b)

The parameters that used to calculate the expected normal returns for the event window are estimated over the estimation window.

c)

The null hypothesis is that stock split has no effects on firm values.

d)

The expected normal returns can be estimated by several models, e.g. constant mean models, market models, etc.

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