Event Study Testing with Cross-sectional Correlation of Abnormal Returns

By James W. Kolari, S. Pynnönen. 2010

611 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c9f997ac006566f4e7d152cb0e5c5c6480b957a3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

The impact of monetary policy announcements on the stock price of large European banks during the financial crisis (2015, background): “…(Bomfin, 2003; Ehrmann and Fratzscher, 2004; Bernanke and Kuttner, 2005; Chulià et al., 2010; Rangel, 2011; Rosa, 2011), international bond returns (Bredin et al., 2010), interest rates (Hausman and Wongswan, 2011; Leòn and Sebestyén, 2012) and exchange rates (Hausman and Wongswan, 2011).”
Input Specificity and the Propagation of Idiosyncratic Shocks in Production Networks (2016, positive): “Kolari and Pynnönen (2010) show that the ADJ-BMP test accounts for cross-sectional correlation in abnormal returns and is robust to serial correlation.29 2.”
Failure and success in mergers and acquisitions (2019, neutral): “M&A events however tend to be clustered through time and by industry and are hence not random, resulting in cross-correlated abnormal returns and possibly overstated test statistics (Kolari and Pynnönen, 2010).”
Climate change events and stock market returns (2021, methodology): “…’ s (1976) methodology for testing, which includes the number of observations in the estimation window ( m ) and the number of explanatory variables ( p ): On top of this test, we apply an adjustment, suggested in Kolari and Pynnönen (2010): (cid:3)(cid:3)(cid:3)(cid:3)(cid:3)(cid:3)(cid:3)(cid”
Carbon risk and corporate capital structure (2020, positive): “Given that KPR announcement is a single event date, which may cause substantial cross-sectional correlations in CARs and standard errors, we follow the event study methodology of Kolari and Pynnonen (2010) and adjust the standard errors for event-day clustering.”