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Tests for abnormal returns in the presence of event-induced cross-sectional correlation

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Revisiting the effect of crude oil price movements on US stock market returns and volatility

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Black swan events and COVID-19 outbreak : sector level evidence from the US, UK, and European stock markets

Ahmad, Wasim; Kutan, Ali Mustafa; Gupta, Smarth - In: International review of economics & finance : IREF 75 (2021), pp. 546-557

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Short Selling Activities and Convertible Bond Arbitrage : Empirical Evidence from the New York Stock Exchange

Werner, Sebastian P. - 2010

Background and Empirical Predictions -- The Event Study Methodology -- Data, Full Sample and Variable Construction -- Difference in Abnormal Short Selling Activity Following Events of Large Positive Stock Price Changes -- Difference in Information Content of Extreme Short Selling Activity Events...