Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7360466 | Journal of Empirical Finance | 2018 | 24 Pages |
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Anupam Dutta, Johan Knif, James W. Kolari, Seppo Pynnonen,