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

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Dutta , A , Knif , J , Kolari , J & Pynnönen , S 2018 , ' A robust and powerful test of abnormal stock returns in long-horizon event studies ' , Journal of Empirical Finance , vol. 47 , no. June , pp. 1-24 . https://doi.org/10.2139/ssrn.2292356 , https://doi.org/10.1016/j.jempfin.2018.02.004

Title: A robust and powerful test of abnormal stock returns in long-horizon event studies
Author: Dutta, Anupam; Knif, Johan; Kolari, James; Pynnönen, Seppo
Contributor: Hanken School of Economics, Finance, Vaasa
Belongs to series: Journal of Empirical Finance
ISSN: 0927-5398
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.
Date: 2018-06
Subject: 512 Business and Management
Abnormal returns
Long-run event study
Standardized returns
IPOs
SEOs
KOTA2018
PREM2018_04
0 - Not open access
1 - Self archived
https://helda.helsinki.fi/dhanken/handle/10227/406233
1- Minst en av författarna har en utländsk affiliation
1- Publicerad utomlands
0- Ingen affiliation med ett företag
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