Further Evidence on Long-Run Abnormal Returns after Corporate Events

49 Pages Posted: 21 Nov 2018 Last revised: 14 Oct 2020

See all articles by James W. Kolari

James W. Kolari

Texas A&M University - Department of Finance

Seppo Pynnonen

University of Vaasa, Department of Mathematics and Statistics

Ahmet M. Tuncez

University of Michigan at Dearborn - College of Business

Date Written: October 13, 2020

Abstract

This paper investigates abnormal standardized returns (ASRs) after major corporate events. Dutta, Knif, Kolari, and Pynnonen (2018) have shown that the ASR t-test has superior size and power compared to traditional test statistics. Based on this new test statistic compared to traditional test methods, we re-examine long-run abnormal returns after mergers and acquisitions, initial public offerings, seasoned equity offerings, dividend initiations, stock repurchases, stock splits, and reverse stock splits. While some recent studies report disappearing long-run event effects over time, our ASR tests in different subperiods from 1980 to 2015 detect significant long-run abnormal returns after these corporate actions. Graphical analyses of ASRs further support our statistical test results. We conclude that long-run abnormal returns persist after major corporate events.

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

JEL Classification: C10, G14 ,G32, G34, G35

Suggested Citation

Kolari, James W. and Pynnonen, Seppo and Tuncez, Ahmet M., Further Evidence on Long-Run Abnormal Returns after Corporate Events (October 13, 2020). Quarterly Review of Economics and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3264757 or http://dx.doi.org/10.2139/ssrn.3264757

James W. Kolari (Contact Author)

Texas A&M University - Department of Finance ( email )

MS-4218
Department of Finance
College Station, TX TX 77843-4218
United States
979-845-4803 (Phone)
979-845-3884 (Fax)

Seppo Pynnonen

University of Vaasa, Department of Mathematics and Statistics ( email )

Wolffintie 34
65200 Vaasa
Finland
+358-21-449 8311 (Phone)

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

Ahmet M. Tuncez

University of Michigan at Dearborn - College of Business ( email )

Fairlane Center South
19000 Hubbard Drive
Dearborn, MI 48126-2638
United States

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