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...

Previous studies find only a weak relationship between inflation news and stock market returns. We show that significant daily market reactions to different types of inflation shocks occur in dynamic economic states. Also, although previous work has not examined longer-run market reactions, our...

The paper re-examines the issue of the robustness of the weekday effect. Specifically, by utilizing a quantile regression approach, the homogeneity of observed day-of-the-week anomalies is monitored and tested over different parts of the conditional return distribution. The day-of-the-week...

In line with the integration of financial markets it is expected that anomalies and other characteristics of equity markets become more similar. This paper specifically examines how much of the asymmetry and the day-of-the-week effect is common to the European markets and how much is country...

This paper expands the recent empirical studies of international capital market integration in mainly three aspects. First, the study focuses on two Scandinavian markets, the Finnish and the Swedish, that are receiving more and more attention by international analysts in light of the ongoing...