Event Study Testing with Cross-Sectional Correlation Due to Partially Overlapping Event Windows

Author:

Kolari James W.,Pape Bernd,Pynnonen Seppo

Publisher

Elsevier BV

Reference19 articles.

1. Sample selection and event study estimation;Kenneth R Ahern;Journal of Empirical Finance,2009

2. Tests for abnormal returns in the presence of event-induced cross-sectional correlation;Niklas Ahlgren;Journal of Financial Econometrics,2017

3. A portfolio approach to estimating the average correlation coefficient for the constant correlation model;Yash P Aneja;Journal of Finance,1989

4. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics;Brad M Barber;Journal of Financial Economics,1997

5. The information content of annual announcements;William H Beaver;Journal of Accounting Research Supplement,1968

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