Further evidence on long-run abnormal returns after corporate events

James W. Kolari, Seppo Pynnonen and Ahmet M. Tuncez

The Quarterly Review of Economics and Finance, 2021, vol. 81, issue C, 421-439

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 return; Dividend initiation; Initial public offering (IPO); Long-run event study; Merger and acquisition; Seasoned equity offering (SEO); Share repurchase; Stock splits (search for similar items in EconPapers)
JEL-codes: C10 G14 G32 G34 G35 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:81:y:2021:i:c:p:421-439

DOI: 10.1016/j.qref.2020.10.011

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