This paper proposes a novel standardized test for abnormal returns in long-horizon event studies that takes into account cross-sectional correlation, autocorrelation, and hetersoskedasticity of stock returns. Extensive simulation analyses demonstrate improved size and power of testing relative...

Bessembinder and Zhang (2013) show that long-run abnormal returns after major corporate events detected by the BHAR method using size and book-to-market matched control stocks can be explained by differences between event and control stocks' unsystematic and systematic characteristics. We find...

This study applies a rolling estimation window approach to adjust for time-varying risk parameters in asset pricing models to compute long-run abnormal returns after major corporate events. Abnormal returns are defined as realized returns minus predicted returns on each day in a five-year,...

This paper investigates abnormal standardized returns (ASRs) after major corporate events. Dutta, Knif, Kolari, and Pynnonen (2018) have shown that the ASR t-test has superior size and power compared to traditional test statistics. Based on this new test statistic compared to traditional test...

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...

This paper investigates the robustness of existing long-run event study methodologies using the Asia-Pacific security market data. In doing so, the study employs the buy-and-hold abnormal return approach and the calendar time portfolio method to measure the return anomalies. Since each of these...

Momentum profits collapse and reversal occurs when preceding market volatility is relatively high. Based on these intertemporal patterns, we implement an investment strategy that switches from momentum to reversal when volatility is high. The proposed switching strategy has two advantages over...