A robust and powerful test of abnormal stock returns in long-horizon event studies

Anupam Dutta; Johan Knif; James  Kolari; Seppo Pynnönen

doi:10.2139/ssrn.2292356

A robust and powerful test of abnormal stock returns in long-horizon event studies

Anupam Dutta, Johan Knif, James Kolari, Seppo Pynnönen

Finance, Vaasa

Research output: Contribution to journal › Article › Scientific › peer-review

10 Citations (Scopus)

Abstract

This paper proposes a novel standardized test for abnormal returns in long-horizon event studies that takes into account cross-sectional correlation, autocorrelation, and heteroskedasticity of stock returns. Extensive simulation analyses demonstrate improved size and power of testing relative to existing long-run test methodologies. Application to initial public offerings and seasoned equity offerings further demonstrates robustness to extreme return outliers inherent in these long-run studies.

Original language	English
Peer-reviewed scientific journal	Journal of Empirical Finance
Volume	47
Issue number	June
Pages (from-to)	1-24
Number of pages	24
ISSN	0927-5398
DOIs	https://doi.org/10.2139/ssrn.2292356 https://doi.org/10.1016/j.jempfin.2018.02.004
Publication status	Published - 06.2018
MoE publication type	A1 Journal article - refereed

Keywords

512 Business and Management
Abnormal returns
Long-run event study
Standardized returns
IPOs
SEOs

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Dutta Knif et al SSRN-id2292356Accepted author manuscript, 2.17 MBLicence: CC BY-NC-ND

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A robust and powerful test of abnormal stock returns in long-horizon event studies

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Keywords

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