Harrington, Scott E.; Shrider, David G. - In: Journal of Financial and Quantitative Analysis 42 (2007) 01, pp. 229-256
We demonstrate analytically that cross-sectional variation in the effects of events, i.e., in true abnormal returns, necessarily produces event-induced variance increases, biasing popular tests for mean abnormal returns in short-horizon event studies. We show that unexplained cross-sectional...