Contemporary event study test: event-induced variance and cross correlation among abnormal returns in dividend

• Main Authors: Ng, Chee Pung, Choo, Wei Chong, Amin Noordin, Bany Ariffin, Md Nassir, Annuar
• Format: Article
• Language: English
• Published: Faculty of Economics and Management, Universiti Putra Malaysia 2018
• Online Access: http://psasir.upm.edu.my/id/eprint/16083/1/2%29%20Contemporary%20Event%20Study%20Test.pdf; http://psasir.upm.edu.my/id/eprint/16083/; http://www.ijem.upm.edu.my/vol12_noS2/2)%20Contemporary%20Event%20Study%20Test.pdf

Although many literatures related to event studies have reported the problem of event-induced variance and cross correlation among abnormal returns, a lot of researchers still employ conventional event-study methods which tend to reject the null hypothesis of zero average abnormal returns too freque...