Key points are not available for this paper at this time.
Stephan E. Sefcik, Rex Thompson, An Approach to Statistical Inference in Cross-Sectional Models with Security Abnormal Returns As Dependent Variable, Journal of Accounting Research, Vol. 24, No. 2 (Autumn, 1986), pp. 316-334
Sefcik et al. (Wed,) studied this question.