Alegria, Carlos; McKenzie, George; Wolfe, Simon - In: The European Journal of Finance 15 (2009) 2, pp. 137-156
dispersion of the abnormal returns. We find strong empirical evidence supporting an abnormal dispersion of share returns on event … the event date, or straightforward arbitrage opportunities on the event date. However, we find using Paretian statistics … that the abnormal return dispersion on the event date is three times higher than on normal non-event days. …