Tests for Abnormal Returns under Weak Cross Sectional Dependence

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dc.contributor.author Ahlgren, Niklas
dc.contributor.author Antell, Jan
dc.date.accessioned 2012-06-28T10:24:17Z
dc.date.available 2012-06-28T10:24:17Z
dc.date.issued 2012-06-28
dc.identifier.isbn 978-952-232-175-6
dc.identifier.issn 2242-7082
dc.identifier.uri http://hdl.handle.net/10138/34839
dc.description.abstract Tests for abnormal returns which are derived under the assumption of cross sectional independence are invalid if the abnormal returns are cross sectionally correlated. We model the cross sectional correlation by a spatial autoregressive model. The abnormal returns of .rms belonging to the same group according to their business activities are correlated, whereas the abnormal returns of .rms belonging to different groups are uncorrelated. Tests for abnormal returns corrected for cross sectional correlation are derived. An empirical application to US stock returns around Bear Stearns.collapse and Lehman Brothers.bankruptcy in 2008 is provided as an illustration. (JEL C21, C22, G12). fi
dc.language.iso en fi
dc.publisher Hanken School of Economics fi
dc.relation.ispartofseries 561 fi
dc.subject abnormal return fi
dc.subject cross sectional correlation fi
dc.subject event study fi
dc.subject spatial autoregressive model fi
dc.title Tests for Abnormal Returns under Weak Cross Sectional Dependence fi
dc.type Working Paper fi

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