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Dynamic risk adjustment in long-run event study tests

Han, Yao; Kolari, James W.; Pynnönen, Seppo - In: Applied economics 56 (2024) 6, pp. 744-764

Persistent link: https://www.econbiz.de/10014440123

Nonparametric rank tests for event studies

Kolari, James W.; Pynnönen, Seppo - In: Journal of empirical finance 18 (2011) 5, pp. 953-971

Persistent link: https://www.econbiz.de/10009492522

A robust and powerful test of abnormal stock returns in long-horizon event studies

Dutta, Anupam; Knif, Johan; Kolari, James W.; … - In: Journal of empirical finance 47 (2018), pp. 1-24

Persistent link: https://www.econbiz.de/10012103461

Further evidence on long-run abnormal returns after corporate events

Kolari, James W.; Pynnönen, Seppo; Tuncez, Ahmet M. - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 421-439

Persistent link: https://www.econbiz.de/10012656438

On long-run stock returns after corporate events

Kolari, James W.; Pynnönen, Seppo; Tuncez, Ahmet M. - In: Critical finance review 11 (2022) 1, pp. 117-167

Persistent link: https://www.econbiz.de/10013455601

Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Persistent link: https://www.econbiz.de/10013168738

On regression based event study

Pynnönen, Seppo - In: Contributions to accounting, finance, and management …, (pp. 327-354). 2005

Persistent link: https://www.econbiz.de/10003393211