Event Study Testing with Cross-sectional Correlation of Abnormal Returns

• 成果类型: Article
• 署名作者: Kolari, James W.; Pynnonen, Seppo
• 署名单位: University of Vaasa; Texas A&M University System; Texas A&M University College Station
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq072
• 发表日期: 2010
• 页码: 3996
• 关键词: security-price performance; stock returns; inference

摘要

This article examines the issue of cross-sectional correlation in event studies. When there is event-date clustering, we find that even relatively low cross-correlation among abnormal returns is serious in terms of over-rejecting the null hypothesis of zero average abnormal returns. We propose a new test statistic that modifies the t-statistic of Boehmer, Musumeci, and Poulsen (1991) to take into account cross-correlation and show that it performs well in competition with others, including the portfolio approach, which is less powerful than other alternatives under study. Also, our statistic is readily useable to test multiple-day cumulative abnormal returns. (JEL G14, C10, C15)