A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies
Author | : Anupam Dutta |
Publisher | : |
Total Pages | : 64 |
Release | : 2017 |
ISBN-10 | : OCLC:1305540322 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies written by Anupam Dutta and published by . This book was released on 2017 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 to existing long-run test methodologies. Application to initial public offerings and seasoned equity offerings further demonstrates robustness to extreme return outliers inherent in these long-run studies.