Further Evidence on Long-Run Abnormal Returns after Corporate Events using Standardized Tests

38 Pages Posted: 21 Nov 2018 Last revised: 12 Jul 2019

See all articles by James W. Kolari

James W. Kolari

Texas A&M University - Department of Finance

Seppo Pynnonen

University of Vaasa, Department of Mathematics and Statistics

Ahmet M. Tuncez

Adrian College

Date Written: July 11, 2019

Abstract

This paper investigates abnormal standardized returns (ASRs) after major corporate events. Dutta, Knif, Kolari, and Pynnonen (2018) recently proposed the ASR t-test, which proved to have superior size and power compared to traditional test statistics. Our empirical analyses employ large samples of mergers and acquisitions, initial public offerings, seasoned equity offerings, dividend initiations, and stock repurchases. While some recent studies report disappearing long-run event effects over time, based on ASR testing in different subperiods from 1980 to 2015, we find significant long-run abnormal returns associated with these corporate actions. Graphical analyses of ASRs further support our statistical test results. We conclude that long-run abnormal returns persist after major corporate events.

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

JEL Classification: C10, G14 ,G32, G34, G35

Suggested Citation

Kolari, James W. and Pynnonen, Seppo and Tuncez, Ahmet M., Further Evidence on Long-Run Abnormal Returns after Corporate Events using Standardized Tests (July 11, 2019). Available at SSRN: https://ssrn.com/abstract=3264757 or http://dx.doi.org/10.2139/ssrn.3264757

James W. Kolari (Contact Author)

Texas A&M University - Department of Finance ( email )

MS-4218
Department of Finance
College Station, TX TX 77843-4218
United States
979-845-4803 (Phone)
979-845-3884 (Fax)

Seppo Pynnonen

University of Vaasa, Department of Mathematics and Statistics ( email )

Wolffintie 34
65200 Vaasa
Finland
+358-21-449 8311 (Phone)

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

Ahmet M. Tuncez

Adrian College ( email )

110 S. Madison
Adrian, MI 49221
United States

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