Tests for Abnormal Returns under Weak Cross Sectional Dependence
作者： Niklas Ahlgren , Jan Antell
DOI:
关键词:
摘要: Tests for abnormal returns which are derived under the assumption of cross sectional independence invalid if sectionally correlated. We model correlation by a spatial autoregressive model. The firms belonging to same group according their business activities correlated, whereas different groups uncorrelated. corrected derived. An empirical application US stock around Bear Stearns’collapse and Lehman Brothers’bankruptcy in 2008 is provided as an illustration. (JEL C21, C22, G12).
参考文章(13)
Erich Leo Lehmann, Elements of large-sample theory ,(1998)
Charles R. Johnson, Roger A. Horn, Matrix Analysis ,(1985)
Massimiliano Caporin, Paolo Paruolo, Structured Multivariate Volatility Models Research Papers in Economics. ,(2009)
James P. LeSage, R. Kelley Pace, Introduction to spatial econometrics ,(2009)
Nazgul Jenish, Ingmar R. Prucha, Central Limit Theorems and Uniform Laws of Large Numbers for Arrays of Random Fields. Journal of Econometrics. ,vol. 150, pp. 86- 98 ,(2009) , 10.1016/J.JECONOM.2009.02.009
James W. Kolari, Seppo Pynnönen, Event Study Testing with Cross-sectional Correlation of Abnormal Returns Review of Financial Studies. ,vol. 23, pp. 3996- 4025 ,(2010) , 10.1093/RFS/HHQ072
Andrew W. Lo, John Y. Campbell, A. Craig MacKinlay, The econometrics of financial markets ,(1997)
Kenneth A. Froot, Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data The Journal of Financial and Quantitative Analysis. ,vol. 24, pp. 333- 355 ,(1989) , 10.2307/2330815
Ekkehart Boehmer, Jim Masumeci, Annette B Poulsen, Event-study methodology under conditions of event-induced variance Journal of Financial Economics. ,vol. 30, pp. 253- 272 ,(1991) , 10.1016/0304-405X(91)90032-F
Stephen J. Brown, Jerold B. Warner, MEASURING SECURITY PRICE PERFORMANCE Journal of Financial Economics. ,vol. 8, pp. 205- 258 ,(1980) , 10.1016/0304-405X(80)90002-1