The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
Event Study Testing with Cross-sectional Correlation of Abnormal Returns
Abstract
This article examines the issue of cross-sectional correlation in event studies. When there is event-date clustering, we find that even relatively low cross-correlation among abnormal returns is serious in terms of over-rejecting the null hypothesis of zero average abnormal returns. We propose a new test statistic that modifies the t-statistic of Boehmer, Musumeci, and Poulsen (1991) to take into account cross-correlation and show that it performs well in competition with others, including the portfolio approach, which is less powerful than other alternatives under study. Also, our statistic is readily useable to test multiple-day cumulative abnormal returns. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Individual Comparisons by Ranking Methods
Wilcoxon, F. (1945) · Biometrics Bulletin · doi:10.2307/3001968 · Cited by 15,354
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Event-study methodology under conditions of event-induced variance
Boehmer, E. (1991) · Journal of Financial Economics · doi:10.1016/0304-405x(91)90032-f · Cited by 1,775
Cited by
Protection of trade secrets and capital structure decisions
Klasa, S., Ortiz-Molina, H., Serfling, M., & Srinivasan, S. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2018.02.008 · Cited by 448
Russia–Ukraine crisis: The effects on the European stock market
Ahmed, S., Hasan, M. M., & Kamal, M. R. (2023) · European Financial Management · doi:10.1111/eufm.12386 · Cited by 341
Metadata
- Authors
- Kolari, J. W., & Pynnönen, S.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2010-09-21
- Volume
- 23
- Issue
- 11
- Pages
- 3996-4025
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2006536795
- Cited by
- 643
- References
- 4
- FWCI
- 30.42
- Type
- journal article
- Language
- en
- Open access
- closed
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