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

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