Because stock prices are not normally distributed, the power of nonparametric rank tests dominate parametric tests in event study analyses of abnormal returns on a single day. However, problems arise in the application of nonparametric tests to multiple day analyses of cumulative abnormal...

Due to a lack of supporting evidence, market beta in the widely-acclaimed Capital Asset Pricing Model (CAPM) is considered dead nowadays. In this paper we propose a novel approach for estimating market beta using the traditional market model. Upon deriving a covariance adjustment term, we...

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,...

Previous studies find only a weak relationship between inflation news and stock market returns. We show that significant daily market reactions to different types of inflation shocks occur in dynamic economic states. Also, although previous work has not examined longer-run market reactions, our...

This paper provides cross-sectional tests of the Capital Asset Pricing Model (CAPM). To mitigate problems with noise in realized stock return series, we use a smoothed data series of average daily returns per month. Tests using U.S. stock returns for equal-weighted portfolios indicate that beta...

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...

In event study analyses of abnormal returns on a single day, Corrado's (1989) nonparametric rank test and its modification in Corrado and Zivney (1992) have good empirical power properties, but problems arise in their application to cumulative abnormal returns (CARs). This paper proposes a...