This study applies a rolling estimation window approach to adjust for time-varying risk parameters in asset pricing models to compute long-run abnormal returns after major corporate events. Abnormal returns are defined as realized returns minus predicted returns on each day in a five-year,...

This paper proposes a novel standardized test for abnormal returns in long-horizon event studies that takes into account cross-sectional correlation, autocorrelation, and hetersoskedasticity of stock returns. Extensive simulation analyses demonstrate improved size and power of testing relative...

This paper investigates the robustness of existing long-run event study methodologies using the Asia-Pacific security market data. In doing so, the study employs the buy-and-hold abnormal return approach and the calendar time portfolio method to measure the return anomalies. Since each of these...