Third, test statistics for multi-year performance might be misspecified
because long-horizon performance is likely right skewed (or might exhibit some
other form of non-normality) and not all sample firms survive, so there might
be a survivor bias.Wh ile a t-test using a large sample size is quite robust to
non-normality, the combination of skewness (or other forms of non-normality)
and cross-sectional dependence might contribute to test misspecification.Use
of Bootstrap standard errors would be an option that is worth examining to
tackle problems arising from both non-normality and survivor biases.