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

Anupam Dutta, Johan Knif, James Kolari, Seppo Pynnönen

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

3 Citeringar (Scopus)

Sammanfattning

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.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftJournal of Empirical Finance
Volym47
UtgåvaJune
Sidor (från-till)1-24
Antal sidor24
ISSN0927-5398
DOI
StatusPublicerad - 06.2018
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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