Search Results - person:"Pynnönen, S."

Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Persistent link: https://www.econbiz.de/10013168738

Dynamic risk adjustment in long-run event study tests

Han, Yao; Kolari, James W.; Pynnönen, Seppo - In: Applied economics 56 (2024) 6, pp. 744-764

Persistent link: https://www.econbiz.de/10014440123

Professional Investment Portfolio Management : Boosting Performance with Machine-Made Portfolios and Stock Market Evidence

Kolari, James W.; Liu, Wei; Pynnönen, Seppo - 2023

Part I: Introduction -- Chapter 1: Portfolio Theory and Practice -- Part II: Previous Asset Pricing Models -- Chapter 2: General Equilibrium Asset Pricing Models -- Chapter 3: Multifactor Asset Pricing Models -- Part III: The ZCAPM -- Chapter 4: A New Asset Pricing Model: The ZCAPM -- Chapter 5:...

Persistent link: https://www.econbiz.de/10014467008

Investment Valuation and Asset Pricing : Models and Methods

Kolari, James W.; Pynnönen, Seppo - 2023

Chapter 1: Portfolio Theory and Practice -- Chapter 2: Capital Market Conditions -- Chapter 3: Capital Asset Pricing Model (CAPM) -- Chapter 4: The Market Model -- Chapter 5: The Zero-Beta CAPM -- Chapter 6: Alternative CAPM Specifications -- Chapter 7: Arbitrage Pricing Theory -- Chapter 8:...

Persistent link: https://www.econbiz.de/10013504695

On long-run stock returns after corporate events

Kolari, James W.; Pynnönen, Seppo; Tuncez, Ahmet M. - In: Critical finance review 11 (2022) 1, pp. 117-167

Persistent link: https://www.econbiz.de/10013455601

Further evidence on long-run abnormal returns after corporate events

Kolari, James W.; Pynnönen, Seppo; Tuncez, Ahmet M. - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 421-439

Persistent link: https://www.econbiz.de/10012656438

Asymmetric fund performance characteristics a comparison of European and US large-cap funds

Högholm, Kenneth; Knif, Johan; Koutmos, Gregory; … - In: Multinational finance journal 21 (2017) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012547431

A robust and powerful test of abnormal stock returns in long-horizon event studies

Dutta, Anupam; Knif, Johan; Kolari, James W.; … - In: Journal of empirical finance 47 (2018), pp. 1-24

Persistent link: https://www.econbiz.de/10012103461

Exchange risk and universal returns : a test of international arbitrage pricing theory

Armstrong, Will J.; Knif, Johan; Kolari, James W.; … - In: Pacific-Basin finance journal 20 (2012) 1, pp. 24-40

Persistent link: https://www.econbiz.de/10009629180

Cross-distributional robustness of conditional weekday effects : evidence from European equity-index returns

Högholm, Kenneth; Knif, Johan; Pynnönen, Seppo - In: The European journal of finance 17 (2011) 5/6, pp. 377-390

Persistent link: https://www.econbiz.de/10009155391