Market Reactions and Information Spillovers in Bank Mergers: A Multi-Method Analysis of the Japanese Banking Sector
Wang and Tsuyuguchi (2025) study event-driven strategies in equities using classical time-series methods. The abstract mentions alpha but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“An event study using the market model, the capital asset pricing model (CAPM), and the Fama-French three-factor model is implemented to estimate cumulative abnormal returns (CAR) for valuation purposes.”
AssetEquities
StrategyEvent-driven strategies
TechniqueClassical time serieslinear factor model
GeographyGlobalEurope
Also stated: Alpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodEvent-driven strategies by year
FamilyEvent-driven strategies52Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 950
AssetEquities40
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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