Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13
tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs … cross-sectional correlation of returns arising from calendar time overlapping event windows. Simulations show that the … proposed rank test is well specified in testing CARs and is robust towards both complete and partial overlapping event windows. …