In the article by Brown and Warner (1980) How did the use of non-parametric tests impact the performance of the market-adjusted return model ?
The non-parametric tests have quite a few misspecifications and are less restrictive so could there be room for potential biases when utilizing the non parametric tests to determine their impact on the performance on the market-adjusted return? I’m hoping to understand whether all 3 performance measures were affected by the non- parametric tests in the same way or is there a difference between all 3?
