On the Statistical Significance of Event Effects on Unsystematic Volatility
提出一种方法判断股票拆分、公司重组等事件对资产收益非系统性波动率的影响是否显著，模拟检验显示方法有效，并应用于公司分拆发现母公司非系统性波动率显著且持久上升。
Abstract We develop a method for determining the significance of the effect of a certain event (stock split, corporate restructuring, change in regulation, etc.) on unsystematic volatility of asset returns. Simulations show that the suggested tests reject the true null hypothesis of no effect on volatility at appropriate levels, whereas the rejection rates of a false null hypothesis increase with the magnitude of the effect. An application of the method to corporate spin‐offs reveals statistically significant and long‐lasting estimated increases in unsystematic volatility of parent companies' returns.