A robust and powerful test of abnormal stock returns in long-horizon event studies Academic Article uri icon

abstract

  • 2018 Elsevier B.V. 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.

published proceedings

  • JOURNAL OF EMPIRICAL FINANCE

author list (cited authors)

  • Dutta, A., Knif, J., Kolari, J. W., & Pynnonen, S.

citation count

  • 6

complete list of authors

  • Dutta, Anupam||Knif, Johan||Kolari, James W||Pynnonen, Seppo

publication date

  • June 2018