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...

This article re-examines the issue of cross-sectional correlation. Kolari and Pynnonen (2010) find that, in the case of event-date clustering with the same event window for all firms, relatively low cross-sectional correlation among abnormal returns can seriously bias standard tests to...

This article provides an overview of existing community-contributed commands for executing event studies. I assess which command(s) could have been used to conduct event studies that have appeared in the past ten years in three leading accounting, finance and management journals. The older...

The calculation of expected returns is a necessary ingredient in data processing for an event study. The method most commonly used, the market model, often fails to meet the OLS requirement of normally distributed residuals, and tends to furnish regression output (low R2, and insignificant t-...

When an event is anticipated, the firm's stock return around the announcement of the event may have an inconsistent sign: a positive sign around negative news, or vice versa. We attempt to quantify the frequency of this problem, first with a brief mathematical model and simulation, then with...

Return event studies generally involve several companies but there are also cases when only one company is involved. This makes the relevant testing problems, abnormal return (AR) and cumulative abnormal return (CAR), more difficult since one cannot exploit the multitude of companies (by using a...

The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern...

The capital markets are sensitive to geopolitical events. It is important to provide evidence of reactions to specific geopolitical events in order to identify general patterns and effective risk management strategies. This study follows the event study approach to assess the reactions of...