1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/24586
DC FieldValueLanguage
dc.contributor.authorTheodossiou, Panayiotis-
dc.contributor.authorTheodossiou, Alexandra K.-
dc.date.accessioned2022-02-22T08:16:55Z-
dc.date.available2022-02-22T08:16:55Z-
dc.date.issued2021-09-01-
dc.identifier.citationInternational Journal of Accounting, 2021, vol. 56, no. 3, articl. no. 2150013en_US
dc.identifier.issn00207063-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/24586-
dc.description.abstractStock returns are decomposed into their regular and outlier components using a maximum likelihood outlier-resistant estimation method. Analytical results depicting the impact of outliers on the ordinary least square (OLS) estimated models and cumulative abnormal return (CAR) statistics are derived and validated using Monte Carlo simulations. The implications of outliers for past event studies are investigated using samples drawn randomly from the universe of stocks in the CRSP database. The OLS-CAR statistics fail to forecast about 37% of the negative-impact and 43% of the positive-impact events. These results raise serious concerns about the validity of conclusions of past event studies, especially those that rejected the hypothesis of significant-impact events.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofInternational Journal of Accountingen_US
dc.rights© Board of Trustees, Vernon K. Zimmerman Center, University of Illinois.en_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectCumulative abnormal returnsen_US
dc.subjectMaximum likelihood outlier-resistant estimation methoden_US
dc.subjectMonte Carlo simulationsen_US
dc.subjectMultifactor asset pricing modelsen_US
dc.subjectOrdinary least squares methoden_US
dc.titleConsequences of Outlier Returns for Event Studies: A Methodological Investigation and Treatmenten_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.collaborationTexas A and M Universityen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.countryUnited Statesen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1142/S109440602150013Xen_US
dc.identifier.scopus2-s2.0-85108687520-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/85108687520-
dc.relation.issue3en_US
dc.relation.volume56en_US
cut.common.academicyear2020-2021en_US
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.cerifentitytypePublications-
item.openairetypearticle-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.parentorgFaculty of Management and Economics-
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