Most emerging financial markets have a liquidity problem. Brown and Warner (1985) showed that the problem causes bias in measuring abnormal returns by means of a traditional event study. A number of studies detect abnormal returns of thinly traded stocks by using either different models to...

For many years' economists statisticians and teachers of finance have been interested in developing and testing model impact analysis of stock price behavior with financial analysis. And nowadays the popular trade fair THAIFEX will also continue to play an important role in promoting the growth...

This study aims to examine the effect of World Health Organization (WHO) declaring COVID-19 as a global pandemic on the stock market returns of the five largest Asian stock markets using event study analysis. Results obtained from this research shows that the WHO announcement had a significant...

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...

I conduct an event study on the proposed $26.5 billion merger between Sprint and T-Mobile. Positive and statistically significant stock price effects are observed for the merging firms in response to credible rumors of the transaction, but large and negative returns are observed after the...

The slain SARS-CoV-2 (severe acute respiratory syndrome coronavirus) negatively impacted business, industries, jobs, the economy, the stock market around the globe. The worst-hit were the travel & tourism and hospitality industries. This study examines the influence of travel ban and other...

The popularity of sustainable investments is unbroken and attracts investors and researchers alike. Modelling the properties of such 'green' firms, Pástor, Stambaugh, and Taylor 2021 consider a hedge against climate risks in their theoretical model. Likewise, it could be assumed that companies...