Seppo Pynnonen

University of Vaasa, Department of Mathematics and Statistics

Professor

Wolffintie 34

65200 Vaasa

Finland

http://www.uva.fi/~sjp/

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 6,334

SSRN RANKINGS

Top 6,334

in Total Papers Downloads

7,113

SSRN CITATIONS
Rank 46,628

SSRN RANKINGS

Top 46,628

in Total Papers Citations

1

CROSSREF CITATIONS

10

Scholarly Papers (19)

1.

Nonparametric Rank Tests for Event Studies

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 59 Posted: 25 Aug 2008 Last Revised: 19 Aug 2014
James W. Kolari and Seppo Pynnonen
Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 3,865 (2,493)
Citation 2

Abstract:

Loading...

Rank test, Abnormal returns, Event study, Standardized returns

2.

Testing for Cumulative Abnormal Returns in Event Studies with the Rank Test

Number of pages: 41 Posted: 12 Aug 2014 Last Revised: 19 Aug 2014
Terhi Hagnäs and Seppo Pynnonen
University of Vaasa - Department of Mathematics and Statistics and University of Vaasa, Department of Mathematics and Statistics
Downloads 686 (38,209)
Citation 1

Abstract:

Loading...

Finance, Event study, Cumulated ranks, Standardized abnormal returns, Asymptotic distribution

3.

Inflation News and the Stock Market: Macroefficiency or Overreaction

EFMA 2003 Helsinki Meetings
Number of pages: 48 Posted: 23 Jun 2003
Johan Knif, James W. Kolari and Seppo Pynnonen
Hanken School of Economics, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 477 (61,150)

Abstract:

Loading...

4.

The CAPM Works Better for Average Daily Returns

Mays Business School Research Paper No. 2826683
Number of pages: 27 Posted: 21 Aug 2016 Last Revised: 06 Sep 2018
Wei Liu, James W. Kolari and Seppo Pynnonen
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 381 (79,978)

Abstract:

Loading...

CAPM, cross-sectional tests, expected returns, realized returns

5.

A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies

Number of pages: 64 Posted: 11 Jul 2013 Last Revised: 05 Oct 2017
Anupam Dutta, Johan Knif, James W. Kolari and Seppo Pynnonen
University of Vaasa - Department of Mathematics and Statistics, Hanken School of Economics, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 340 (91,248)
Citation 1

Abstract:

Loading...

Abnormal returns, Long-run event study, Standardized returns, IPOs, SEOs

6.

On Long-Run Stock Returns after Corporate Events

Forthcoming, Critical Finance Review, Mays Business School Research Paper No. 2616693
Number of pages: 52 Posted: 12 Jun 2015 Last Revised: 10 May 2017
James W. Kolari, Seppo Pynnonen and Ahmet M. Tuncez
Texas A&M University - Department of Finance, University of Vaasa, Department of Mathematics and Statistics and Adrian College
Downloads 281 (112,318)
Citation 2

Abstract:

Loading...

Abnormal return, Long-run event study, Characteristic normalization, Merger and acquisition, IPO, SEO, Dividend initiation

7.

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

Mays Business School Research Paper No. 3167271
Number of pages: 31 Posted: 23 Apr 2018 Last Revised: 24 Sep 2018
James W. Kolari, Bernd Pape and Seppo Pynnonen
Texas A&M University - Department of Finance, University of Vaasa - Department of Mathematics and Statistics and University of Vaasa, Department of Mathematics and Statistics
Downloads 219 (145,293)

Abstract:

Loading...

Abnormal Returns; Event Day Clustering; Clustering Robust Standard Errors; Cross-Sectional Correlation

8.

Market Power, Bank Megamergers, And the Welfare of Bank Borrowers

Journal of Financial Research, Vol. 34, pp. 641-658, Mays Business School Research Paper No. 2011-8
Number of pages: 36 Posted: 05 Oct 2010 Last Revised: 19 Dec 2011
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance, University of Vaasa, Department of Mathematics and Statistics and Abilene Christian University - College of Business Administration
Downloads 167 (185,064)

Abstract:

Loading...

Bank megamergers, bank mergers, market power

9.

Dynamic Equilibrium Correction Modelling of Yen Eurobond Credit Spreads

IIIS Discussion Paper No. 127
Number of pages: 37 Posted: 12 Aug 2006
Seppo Pynnonen, Jonathan A. Batten and Warren P. Hogan
University of Vaasa, Department of Mathematics and Statistics, The University of Sydney and University of Technology, Sydney - School of Finance and Economics
Downloads 143 (210,866)

Abstract:

Loading...

10.

CAPM: A Covariance Adjustment Approach for Estimating Market Beta

Number of pages: 47 Posted: 10 Mar 2016 Last Revised: 25 May 2016
James W. Kolari, Wei Liu and Seppo Pynnonen
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 142 (212,040)

Abstract:

Loading...

asset pricing, CAPM, cross-sectional tests, market beta

11.

Dynamic Equilibrium Correction Modelling of Credit Spreads. The Case of Yen Eurobonds

Number of pages: 26 Posted: 27 Jan 2004
Seppo Pynnonen, Jonathan A. Batten and Warren P. Hogan
University of Vaasa, Department of Mathematics and Statistics, The University of Sydney and University of Technology, Sydney - School of Finance and Economics
Downloads 126 (232,923)

Abstract:

Loading...

Credit Spreads, Eurobonds, Japan, Equilibrium Correction

12.

Distribution of Linear Transformations of Internally Studentized Least Squared Residuals

Number of pages: 30 Posted: 16 Oct 2010 Last Revised: 06 Dec 2011
Seppo Pynnonen
University of Vaasa, Department of Mathematics and Statistics
Downloads 80 (316,099)
Citation 4

Abstract:

Loading...

Borel transformation of Studentized residuals; normed residuals; spherical distribution; elliptical distribution;

13.

Further Evidence on Long-Run Abnormal Returns after Corporate Events

Number of pages: 37 Posted: 21 Nov 2018 Last Revised: 13 Nov 2019
James W. Kolari, Seppo Pynnonen and Ahmet M. Tuncez
Texas A&M University - Department of Finance, University of Vaasa, Department of Mathematics and Statistics and Adrian College
Downloads 76 (325,721)

Abstract:

Loading...

abnormal returns, anomalous returns, long-run event study, corporate events, M&A, SEO, IPO, dividend initiation, share repurchase

14.

Fund Performance Robustness: An Evaluation Using European Large-Cap Equity Funds

Frontiers in Finance and Economics, Vol. 8, No. 2, pp. 1-26, 2011
Number of pages: 26 Posted: 29 Feb 2012
Kenneth Högholm, Johan Knif and Seppo Pynnonen
Hanken School of Economics - Department of Finance and Statistics, Hanken School of Economics and University of Vaasa, Department of Mathematics and Statistics
Downloads 74 (330,766)

Abstract:

Loading...

Fund Performance, Robustness, European Equity Funds

15.

Conducting Long-Run Event Studies in Asia-Pacific Security Markets

Number of pages: 20 Posted: 20 Jun 2015
Anupam Dutta and Seppo Pynnonen
University of Vaasa - Department of Mathematics and Statistics and University of Vaasa, Department of Mathematics and Statistics
Downloads 53 (391,855)

Abstract:

Loading...

Long-run anomalies, Standardized abnormal returns, Test specification, Power of test

16.

Dynamic Risk Adjustment in Long-Run Event Study Tests

Number of pages: 56 Posted: 15 Feb 2020
Yao Han, James W. Kolari and Seppo Pynnonen
Texas A&M University, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 3 (662,105)

Abstract:

Loading...

Abnormal return, Long-run event study, Merger and acquisition, Seasoned equity offering, Share repurchases, Short-run event study

17.

Event Study Testing with Cross-Sectional Correlation of Abnormal Returns

Review of Financial Studies,Vol. 23, No. 11, pp. 3996-4025, 2010
Posted: 04 May 2011
James W. Kolari and Seppo Pynnonen
Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics

Abstract:

Loading...

event studies, cross-correlation, abnormal returns, event-date clustering

18.

Cross-Dynamics of Exchange Rate Expectations: A Wavelet Analysis

International Journal of Finance & Economics, Vol. 16, No. 3, pp. 205-217, 2011
Posted: 16 Jan 2011 Last Revised: 17 Oct 2011
University of Vaasa - Department of Accounting and Finance, University of Vaasa, Department of Mathematics and Statistics, affiliation not provided to SSRN and University of Vaasa

Abstract:

Loading...

exchange rate expectations, wavelet cross-correlations, currency options

19.

Further Evidence on the Credit View: The Case of Finland

Journal of Applied Economics, Vol. 34, pp. 267-278, 2002
Posted: 20 Mar 2003
Ali Anari, James W. Kolari, Seppo Pynnonen and Antti Suvanto
Texas A&M University - Mays Business School, Texas A&M University - Department of Finance, University of Vaasa, Department of Mathematics and Statistics and Bank of Finland

Abstract:

Loading...