Seppo Pynnonen

University of Vaasa, Department of Mathematics and Statistics

Professor

Wolffintie 34

65200 Vaasa

Finland

http://www.uva.fi/~sjp/

SCHOLARLY PAPERS

20

DOWNLOADS
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8,147

SSRN CITATIONS
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Top 34,835

in Total Papers Citations

10

CROSSREF CITATIONS

13

Scholarly Papers (20)

1.

Nonparametric Rank Tests for Event Studies

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 59 Posted: 25 Aug 2008 Last Revised: 19 Aug 2014
James W. Kolari and Seppo Pynnonen
Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 4,140 (2,762)
Citation 11

Abstract:

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Rank test, Abnormal returns, Event study, Standardized returns

2.

Testing for Cumulative Abnormal Returns in Event Studies with the Rank Test

Number of pages: 41 Posted: 12 Aug 2014 Last Revised: 19 Aug 2014
Terhi Hagnäs and Seppo Pynnonen
University of Vaasa - Department of Mathematics and Statistics and University of Vaasa, Department of Mathematics and Statistics
Downloads 877 (32,930)
Citation 2

Abstract:

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Finance, Event study, Cumulated ranks, Standardized abnormal returns, Asymptotic distribution

3.

The CAPM Works Better for Average Daily Returns

Mays Business School Research Paper No. 2826683
Number of pages: 27 Posted: 21 Aug 2016 Last Revised: 06 Sep 2018
Wei Liu, James W. Kolari and Seppo Pynnonen
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 485 (71,499)

Abstract:

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CAPM, cross-sectional tests, expected returns, realized returns

4.

Inflation News and the Stock Market: Macroefficiency or Overreaction

Number of pages: 48 Posted: 23 Jun 2003
Johan Knif, James W. Kolari and Seppo Pynnonen
Hanken School of Economics, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 485 (71,499)

Abstract:

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5.

Event Study Testing with Cross-Sectional Correlation Due to Partially Overlapping Event Windows

Mays Business School Research Paper No. 3167271
Number of pages: 31 Posted: 23 Apr 2018 Last Revised: 14 Jul 2020
James W. Kolari, Bernd Pape and Seppo Pynnonen
Texas A&M University - Department of Finance, University of Vaasa - Department of Mathematics and Statistics and University of Vaasa, Department of Mathematics and Statistics
Downloads 452 (77,875)
Citation 3

Abstract:

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Abnormal Returns; Event Day Clustering; Clustering Robust Standard Errors; Cross-Sectional Correlation

6.

A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies

Number of pages: 64 Posted: 11 Jul 2013 Last Revised: 05 Oct 2017
Anupam Dutta, Johan Knif, James W. Kolari and Seppo Pynnonen
University of Vaasa - Department of Mathematics and Statistics, Hanken School of Economics, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 393 (91,663)
Citation 2

Abstract:

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Abnormal returns, Long-run event study, Standardized returns, IPOs, SEOs

7.

On Long-Run Stock Returns after Corporate Events

Forthcoming, Critical Finance Review, Mays Business School Research Paper No. 2616693
Number of pages: 52 Posted: 12 Jun 2015 Last Revised: 10 May 2017
James W. Kolari, Seppo Pynnonen and Ahmet M. Tuncez
Texas A&M University - Department of Finance, University of Vaasa, Department of Mathematics and Statistics and University of Michigan at Dearborn - College of Business
Downloads 320 (115,599)
Citation 2

Abstract:

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Abnormal return, Long-run event study, Characteristic normalization, Merger and acquisition, IPO, SEO, Dividend initiation

8.

Market Power, Bank Megamergers, And the Welfare of Bank Borrowers

Journal of Financial Research, Vol. 34, pp. 641-658, Mays Business School Research Paper No. 2011-8
Number of pages: 36 Posted: 05 Oct 2010 Last Revised: 19 Dec 2011
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance, University of Vaasa, Department of Mathematics and Statistics and Abilene Christian University - College of Business Administration
Downloads 169 (214,173)
Citation 1

Abstract:

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Bank megamergers, bank mergers, market power

9.

CAPM: A Covariance Adjustment Approach for Estimating Market Beta

Number of pages: 47 Posted: 10 Mar 2016 Last Revised: 25 May 2016
James W. Kolari, Wei Liu and Seppo Pynnonen
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 151 (235,360)

Abstract:

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asset pricing, CAPM, cross-sectional tests, market beta

10.

Dynamic Equilibrium Correction Modelling of Yen Eurobond Credit Spreads

IIIS Discussion Paper No. 127
Number of pages: 37 Posted: 12 Aug 2006
Seppo Pynnonen, Jonathan A. Batten and Warren P. Hogan
University of Vaasa, Department of Mathematics and Statistics, RMIT University and University of Technology, Sydney - School of Finance and Economics
Downloads 145 (243,359)

Abstract:

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11.

Dynamic Equilibrium Correction Modelling of Credit Spreads. The Case of Yen Eurobonds

Number of pages: 26 Posted: 27 Jan 2004
Seppo Pynnonen, Jonathan A. Batten and Warren P. Hogan
University of Vaasa, Department of Mathematics and Statistics, RMIT University and University of Technology, Sydney - School of Finance and Economics
Downloads 129 (266,559)

Abstract:

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Credit Spreads, Eurobonds, Japan, Equilibrium Correction

12.

Further Evidence on Long-Run Abnormal Returns after Corporate Events

Quarterly Review of Economics and Finance, Forthcoming
Number of pages: 49 Posted: 21 Nov 2018 Last Revised: 14 Oct 2020
James W. Kolari, Seppo Pynnonen and Ahmet M. Tuncez
Texas A&M University - Department of Finance, University of Vaasa, Department of Mathematics and Statistics and University of Michigan at Dearborn - College of Business
Downloads 118 (284,689)

Abstract:

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abnormal returns, anomalous returns, long-run event study, corporate events, M&A, SEO, IPO, dividend initiation, share repurchase, stock splits

13.

Distribution of Linear Transformations of Internally Studentized Least Squared Residuals

Number of pages: 30 Posted: 16 Oct 2010 Last Revised: 06 Dec 2011
Seppo Pynnonen
University of Vaasa, Department of Mathematics and Statistics
Downloads 91 (338,686)
Citation 4

Abstract:

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Borel transformation of Studentized residuals; normed residuals; spherical distribution; elliptical distribution;

14.

Fund Performance Robustness: An Evaluation Using European Large-Cap Equity Funds

Frontiers in Finance and Economics, Vol. 8, No. 2, pp. 1-26, 2011
Number of pages: 26 Posted: 29 Feb 2012
Kenneth Högholm, Johan Knif and Seppo Pynnonen
Hanken School of Economics - Department of Finance and Statistics, Hanken School of Economics and University of Vaasa, Department of Mathematics and Statistics
Downloads 78 (371,634)

Abstract:

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Fund Performance, Robustness, European Equity Funds

15.

Conducting Long-Run Event Studies in Asia-Pacific Security Markets

Number of pages: 20 Posted: 20 Jun 2015
Anupam Dutta and Seppo Pynnonen
University of Vaasa - Department of Mathematics and Statistics and University of Vaasa, Department of Mathematics and Statistics
Downloads 55 (445,350)

Abstract:

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Long-run anomalies, Standardized abnormal returns, Test specification, Power of test

16.

Dynamic Risk Adjustment in Long-Run Event Study Tests

Number of pages: 59 Posted: 15 Feb 2020 Last Revised: 15 Apr 2020
Yao Han, James W. Kolari and Seppo Pynnonen
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 45 (485,021)

Abstract:

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Abnormal return, Long-run event study, Merger and acquisition, Seasoned equity offering, Share repurchases, Short-run event study

17.

Nonparametric Rank Tests in Event Studies with Partially Overlapping Event Windows

Number of pages: 16 Posted: 22 Mar 2021
Seppo Pynnonen
University of Vaasa, Department of Mathematics and Statistics
Downloads 14 (664,611)

Abstract:

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Finance, Economics, Cross-sectional correlation, Cumulated ranks, Standardized abnormal returns

18.

Event Study Testing with Cross-Sectional Correlation of Abnormal Returns

Review of Financial Studies,Vol. 23, No. 11, pp. 3996-4025, 2010
Posted: 04 May 2011
James W. Kolari and Seppo Pynnonen
Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics

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event studies, cross-correlation, abnormal returns, event-date clustering

19.

Cross-Dynamics of Exchange Rate Expectations: A Wavelet Analysis

International Journal of Finance & Economics, Vol. 16, No. 3, pp. 205-217, 2011
Posted: 16 Jan 2011 Last Revised: 08 Dec 2020
University of Vaasa - Department of Accounting and Finance, University of Vaasa, Department of Mathematics and Statistics, University of Vaasa and University of Vaasa

Abstract:

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exchange rate expectations, wavelet cross-correlations, currency options

20.

Further Evidence on the Credit View: The Case of Finland

Posted: 20 Mar 2003
Ali Anari, James W. Kolari, Seppo Pynnonen and Antti Suvanto
Texas A&M University - Mays Business School, Texas A&M University - Department of Finance, University of Vaasa, Department of Mathematics and Statistics and Bank of Finland

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