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Nonparametric rank tests for event studies

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Cited by:

  1. Melvin Jameson & Tao‐Hsien Dolly King & Andrew Prevost, 2021. "Top management incentives and financial flexibility: The case of make‐whole call provisions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(1-2), pages 374-404, January.
  2. Henryk Gurgul & Jessica Hastenteufel & Tomasz Wójtowicz, 2021. "Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange," Statistics in Transition New Series, Polish Statistical Association, vol. 22(4), pages 41-58, December.
  3. Panayiotis C. Andreou & Christodoulos Louca & Christos S. Savva, 2016. "Short-horizon event study estimation with a STAR model and real contaminated events," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 673-697, October.
  4. Kueschnig, Michael & Schertler, Andrea, 2024. "Fusing futures: Financial institutions’ stock price response to fintech acquisitions," Finance Research Letters, Elsevier, vol. 59(C).
  5. Alexander Kerl & Carolin Schürg & Andreas Walter, 2014. "The impact of Financial Times Deutschland news on stock prices: post-announcement drifts and inattention of investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 409-436, November.
  6. D. Georgoutsos & G. Moratis, 2021. "On the informative value of the EU-wide stress tests and the determinants of banks’ stock return reactions," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(4), pages 977-1008, November.
  7. Frendy, & Hu, Dan, 2014. "Japanese stock market reaction to announcements of news affecting auditors’ reputation: The case of the Olympus fraud," Journal of Contemporary Accounting and Economics, Elsevier, vol. 10(3), pages 206-224.
  8. Philip Barrett & Mariia Bondar & Sophia Chen & Mali Chivakul & Deniz Igan, 2024. "Pricing protest: the response of financial markets to social unrest," Review of Finance, European Finance Association, vol. 28(4), pages 1419-1450.
  9. Miller, Kathleen L. & Nardinelli, Clark & Pink, George & Reiter, Kristin, 2018. "The signaling effects of incremental information: Evidence from stacked US Food and Drug Administration designations," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 219-226.
  10. Florian Berg & Yannick Le Pen, 2013. "Do corporate bond and credit default swap markets value environmental, social or corporate governance events?," Post-Print hal-01613922, HAL.
  11. Ismailescu, Iuliana & Col, Burcin, 2022. "Cross-border M&As and credit risk: Evidence from the CDS market," Journal of Empirical Finance, Elsevier, vol. 66(C), pages 51-73.
  12. Thomas J Hwang, 2013. "Stock Market Returns and Clinical Trial Results of Investigational Compounds: An Event Study Analysis of Large Biopharmaceutical Companies," PLOS ONE, Public Library of Science, vol. 8(8), pages 1-8, August.
  13. Budrys, Žymantas & Porqueddu, Mario & Sokol, Andrej, 2022. "Striking a bargain: narrative identification of wage bargaining shocks," Research Bulletin, European Central Bank, vol. 98.
  14. Marsh, W. Blake, 2023. "Supervisory stringency, payout restrictions, and bank equity prices," Journal of Banking & Finance, Elsevier, vol. 154(C).
  15. Carlos Alves & Victor Mendes & Paulo Pereira da Silva, 2015. "Do stress tests matter? A study on the impact of the disclosure of stress test results on European financial stocks and CDS markets," Applied Economics, Taylor & Francis Journals, vol. 47(12), pages 1213-1229, March.
  16. Ballester, Laura & González-Urteaga, Ana & Shen, Long, 2024. "Green bond issuance and credit risk: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
  17. Dutta, Anupam & Knif, Johan & Kolari, James W. & Pynnonen, Seppo, 2018. "A robust and powerful test of abnormal stock returns in long-horizon event studies," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 1-24.
  18. Devos, Erik & Hao, Wei & Prevost, Andrew K. & Wongchoti, Udomsak, 2015. "Stock return synchronicity and the market response to analyst recommendation revisions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 376-389.
  19. Jackowicz, Krzysztof & Kozłowski, Łukasz & Podgórski, Błażej & Winkler-Drews, Tadeusz, 2020. "Do political connections shield from negative shocks? Evidence from rating changes in advanced emerging economies," Journal of Financial Stability, Elsevier, vol. 51(C).
  20. Daniel Celeny & Loic Mar'echal & Evgueni Rousselot & Alain Mermoud & Mathias Humbert, 2024. "Prioritizing Investments in Cybersecurity: Empirical Evidence from an Event Study on the Determinants of Cyberattack Costs," Papers 2402.04773, arXiv.org.
  21. Luechinger, Simon & Moser, Christoph, 2014. "The value of the revolving door: Political appointees and the stock market," Journal of Public Economics, Elsevier, vol. 119(C), pages 93-107.
  22. Pandey, Dharen Kumar & Kumari, Vineeta, 2021. "Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 467-483.
  23. Sakawa, Hideaki & Watanabel, Naoki & Uchida, Konari, 2024. "Do bank ties influence stock repurchases in a bank-based financial system during financial distress? A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  24. Lanfear, Matthew G. & Lioui, Abraham & Siebert, Mark G., 2019. "Market anomalies and disaster risk: Evidence from extreme weather events," Journal of Financial Markets, Elsevier, vol. 46(C).
  25. James Borthwick & Aelee Jun & Shiguang Ma, 2020. "Changing board behaviour: The role of the ‘Two Strikes’ rule in improving the efficacy of Australian Say‐on‐Pay," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 827-876, April.
  26. Hundt Steffen & Horsch Andreas, 2018. "The Effects of Sanctions on the Lending Policy and the Value of International Banks: the Case of Iran," Review of Middle East Economics and Finance, De Gruyter, vol. 14(3), pages 1-13, December.
  27. repec:pra:mprapa:121191 is not listed on IDEAS
  28. Thai-Ha Le & Donghyun Park & Cong-Phu-Khanh Tran & Binh Tran-Nam, 2018. "The Impact of the Hai Yang Shi You 981 Event on Vietnam’s Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3_suppl), pages 344-375, December.
  29. Christopher A. Hartwell & Paul M. Vaaler, 2023. "The Price of Empire: Unrest Location and Sovereign Risk in Tsarist Russia," Papers 2309.06885, arXiv.org, revised Nov 2023.
  30. Hanaan Yaseen & Ruxandra Trifan, 2019. "The Impact of Dividend Events on Stock Returns: Findings on Companies Listed on the Bucharest Stock Exchange," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 11(2), pages 59-78, December.
  31. Ma, Yu Luen & Ren, Yayuan, 2023. "InsurTech—Promise, threat or hype? Insights from stock market reaction to InsurTech innovation," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  32. Paolo Maranzano & Matteo Maria Pelagatti, 2022. "Spatio-temporal Event Studies for Air Quality Assessment under Cross-sectional Dependence," Papers 2210.17529, arXiv.org.
  33. Hartwell, Christopher A., 2022. "Populism and financial markets," Finance Research Letters, Elsevier, vol. 46(PB).
  34. Andrieș, Alin Marius & Nistor, Simona & Ongena, Steven & Sprincean, Nicu, 2020. "On Becoming an O-SII (“Other Systemically Important Institution”)," Journal of Banking & Finance, Elsevier, vol. 111(C).
  35. Sascha Tobias Wengerek, 2020. "Share price reactions to tariff imposition announcements in the Trump era - An event study of the trade conflict," Working Papers Dissertations 59, Paderborn University, Faculty of Business Administration and Economics.
  36. Idil Uz Akdogan, 2023. "Monetary policy responses to COVID-19 in emerging European economies: measuring the QE announcement effects on foreign exchange markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(3), pages 625-655, August.
  37. David Kreitmeir & Nathan Lane & Paul A. Raschky, 2020. "The Value of Names - Civil Society, Information, and Governing Multinationals on the Global Periphery," SoDa Laboratories Working Paper Series 2020-10, Monash University, SoDa Laboratories.
  38. Jason K. Deane & David M. Goldberg & Terry R. Rakes & Loren P. Rees, 2019. "The effect of information security certification announcements on the market value of the firm," Information Technology and Management, Springer, vol. 20(3), pages 107-121, September.
  39. Giuliana Birindelli & Helen Chiappini, 2021. "Climate change policies: Good news or bad news for firms in the European Union?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 28(2), pages 831-848, March.
  40. Andrieș, Alin Marius & Ongena, Steven & Sprincean, Nicu, 2021. "The COVID-19 Pandemic and Sovereign Bond Risk," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  41. Martins, António Miguel, 2024. "Short-term market impact of crypto firms’ bankruptcies on cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 70(PB).
  42. Law, Cherry & Cornelsen, Laura & Adams, Jean & Penney, Tarra & Rutter, Harry & White, Martin & Smith, Richard, 2020. "An analysis of the stock market reaction to the announcements of the UK Soft Drinks Industry Levy," Economics & Human Biology, Elsevier, vol. 38(C).
  43. Acker, Daniella & Duck, Nigel W., 2015. "Political risk, investor attention and the Scottish Independence referendum," Finance Research Letters, Elsevier, vol. 13(C), pages 163-171.
  44. Pozo, Veronica F. & Schroeder, Ted C., 2016. "Evaluating the costs of meat and poultry recalls to food firms using stock returns," Food Policy, Elsevier, vol. 59(C), pages 66-77.
  45. Loipersberger, Florian, 2017. "The Effect of Supranational Banking Supervision on the Financial Sector: Event Study Evidence from Europe," Discussion Papers in Economics 34610, University of Munich, Department of Economics.
  46. Loipersberger, Florian, 2018. "The effect of supranational banking supervision on the financial sector: Event study evidence from Europe," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 34-48.
  47. Lehmann, Sibylle H. & Hauber, Philipp & Opitz, Alexander, 2012. "Political rights, taxation, and firm valuation: Evidence from Saxony around 1900," FZID Discussion Papers 59-2012, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  48. Henryk Gurgul & Christoph Mitterer & Tomasz Wójtowicz, 2021. "The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(3), pages 287-329, September.
  49. Blazej Prusak & Marcin Potrykus, 2020. "Short-term Price Reaction to Involuntary Bankruptcies Filed in Bad Faith: Empirical Evidence from Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 873-889.
  50. John Pereira & Irma Malafronte & Ghulam Sorwar & Mohamed Nurullah, 2019. "Enforcement Actions, Market Movement and Depositors’ Reaction: Evidence from the US Banking System," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(2), pages 143-165, June.
  51. Jackowicz, Krzysztof & Kozłowski, Łukasz & Podgórski, Błażej, 2017. "The distant echo of Brexit: Did exporters suffer the most?," Finance Research Letters, Elsevier, vol. 21(C), pages 132-139.
  52. Yassin Denis Bouzzine & Rainer Lueg, 2020. "The contagion effect of environmental violations: The case of Dieselgate in Germany," Business Strategy and the Environment, Wiley Blackwell, vol. 29(8), pages 3187-3202, December.
  53. Kakhkharov, Jakhongir & Bianchi, Robert J., 2022. "COVID-19 and policy responses: Early evidence in banks and FinTech stocks," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  54. Paulo Pereira da Silva, 2016. "Did Investors Seeking Short Exposure Move to the CDS Market after the 2011 Short-Sale Bans in European Financial Stocks?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 322-353, August.
  55. Latha Chari & Mohd Merajuddin Inamdar, 2024. "Short-term Securities Market Surveillance Measures and Market Performance — An Empirical Analysis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 27(01), pages 1-18, March.
  56. Maria Fotaki & Apostolos Kourtis & Raphael Markellos, 2023. "Human resources turnover as an asset acquisition and divestiture process: Evidence from the U.K. football industry," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2696-2711, July.
  57. Peng, Zhe & Yang, Yahui & Wu, Renshui, 2022. "The Luckin Coffee scandal and short selling attacks," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).
  58. Dragan Ilić & Janick Christian Mollet, 2022. "Voluntary corporate climate initiatives and regulatory threat," International Economics and Economic Policy, Springer, vol. 19(1), pages 157-184, February.
  59. repec:dau:papers:123456789/11380 is not listed on IDEAS
  60. Bassen, Alexander & Kaspereit, Thomas & Buchholz, Daniel, 2021. "The Capital Market Impact of Blackrock’s Thermal Coal Divestment Announcement," Finance Research Letters, Elsevier, vol. 41(C).
  61. Sharma, Prateek & Paul, Samit & Sharma, Swati, 2020. "What’s in a name? A lot if it has “blockchain”," Economics Letters, Elsevier, vol. 186(C).
  62. Prevost, Andrew K. & Wongchoti, Udomsak & Marshall, Ben R., 2016. "Does institutional shareholder activism stimulate corporate information flow?," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 105-117.
  63. Wolfgang Breuer & Moritz Felde & Bertram I. Steininger, 2017. "The Financial Impact of Firm Withdrawals from “State Sponsor of Terrorism” Countries," Journal of Business Ethics, Springer, vol. 144(3), pages 533-547, September.
  64. David M. Goldberg & Jason K. Deane & Terry R. Rakes & Loren Paul Rees, 2022. "3D Printing Technology and the Market Value of the Firm," Information Systems Frontiers, Springer, vol. 24(4), pages 1379-1392, August.
  65. Xiao, Lu & Xu, Xiaolin & Xue, Weili, 2024. "Blockchain mania without bitcoins: Evidence from the Chinese stock market," Research in International Business and Finance, Elsevier, vol. 67(PB).
  66. Alexis Cellier & Pierre Chollet & Jean†François Gajewski, 2016. "Do Investors Trade around Social Rating Announcements?," European Financial Management, European Financial Management Association, vol. 22(3), pages 484-515, June.
  67. Bellia, Mario & Heynderickx, Wouter & Maccaferri, Sara & Schich, Sebastian, 2020. "Do CDS markets care about the G-SIB status?," JRC Working Papers in Economics and Finance 2020-02, Joint Research Centre, European Commission.
  68. Matteo Pelagatti, 2013. "Nonparametric tests for event studies under cross-sectional dependence," Working Papers 244, University of Milano-Bicocca, Department of Economics, revised May 2013.
  69. Gurgul Henryk & Hastenteufel Jessica & Wójtowicz Tomasz, 2021. "Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange," Statistics in Transition New Series, Statistics Poland, vol. 22(4), pages 41-58, December.
  70. Marcin Suder & Tomasz Wójtowicz & Rafał Kusa & Henryk Gurgul, 2023. "Challenges for ATM management in times of market variability caused by the COVID-19 pandemic crisi," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 445-465, June.
  71. Niklas Ahlgren & Jan Antell, 2017. "Tests for Abnormal Returns in the Presence of Event-Induced Cross-Sectional Correlation," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 286-301.
  72. Fan Xia & Yunxin Hua & Bing Zhang, 2024. "Does non‐compliance pay? Environmental violations and share prices in China," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(3), pages 1886-1904, May.
  73. Helen Chiappini & Gianfranco Vento & Leonardo De Palma, 2021. "The Impact of COVID-19 Lockdowns on Sustainable Indexes," Sustainability, MDPI, vol. 13(4), pages 1-18, February.
  74. Seppo Pynnonen, 2022. "Non-Parametric Statistic for Testing Cumulative Abnormal Stock Returns," JRFM, MDPI, vol. 15(4), pages 1-14, March.
  75. Tchai Tavor, 2024. "Analyzing the influence of Airbnb announcements in the Asia Pacific Region: a sectoral perspective on travel, tourism, and real estate," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(4), pages 873-905, December.
  76. Benjamin Hippert, 2019. "The relationship between announcements of complete mergers and acquisitions and acquirers' abnormal CDS spread changes," Working Papers Dissertations 52, Paderborn University, Faculty of Business Administration and Economics.
  77. Restrepo-Ochoa, Diana Constanza & Peña, Juan Ignacio, 2020. "The impact of forced divestments on parent company stock prices: Buy on the rumor, sell on the news?," Research in International Business and Finance, Elsevier, vol. 53(C).
  78. Błażej Prusak & Marcin Potrykus, 2021. "Short-Term Price Reaction to Filing for Bankruptcy and Restructuring Proceedings—The Case of Poland," Risks, MDPI, vol. 9(3), pages 1-14, March.
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