Professor Seppo Pynnonen
Department of Mathematics and Statistics, University of Vaasa

Articles in Refereed International Journals

  1. Han, Yao, James W. Kolari, and Seppo Pynnonen (2024). Dynamic risk adjustment in long-run event studies. Applied Economics 56(6), 744-764. [https://doi.org/10.1080/00036846.2023.2287554]
  2. Pynnönen, Seppo (2022). Non-parametric statistic for testing cumulative abnormal stock returns. Journal of Risk and Financial Management 15:4, 149, Special Issue: Frontiers of Asset Pricing. [Abstract] [HTML] [pdf] [https://doi.org/10.3390/jrfm15040149]
  3. Kolari, James, Seppo Pynnönen, and Ahmet Tuncez (2022). On long-run stock returns after coroprate events. Critical Finance Review 11(1), 117-167. [https://dx.doi.org/10.1561/104.00000049] [WP on SSRN] [Response by Bessembinder and Zhang]
  4. Kolari, James, Seppo Pynnonen, and Ahmet Tuncez (2021). Further evidence on long-run abnormal returns after corporate events. Quarterly Review of Economics and Finance 81, 421--439. [Abstract] [https://doi.org/10.1016/j.qref.2020.10.011]
  5. Dufitinema, Josephine, Seppo Pynnonen, and Tommi Sottinen (2020). Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets. Communications in Statistics -- Simulation and Computation [https://doi.org/10.1080/03610918.2020.1764581]
  6. Dufitinema, Josephine and Seppo Pynnonen (2019). Long-range dependence in the returns and volatility of the Finnish Housing Market. Journal of European Real Estate Research. https://doi.org/10.1108/JERER-07-2019-0019
  7. Högholm, Kenneth, Johan Knif, Gregory Koutmos, and Seppo Pynnonen (2019). Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns. The Financial Review (Forthcoming)
  8. Knif, Johan, James Kolari, Gregory Koutmos, and Seppo Pynnonen (2019). Measuring the relative return contribution of risk factors. Journal of Asset Management 20(4), 263--272. [Abstract]
  9. Dutta, Anupam, Johan Knif, James Kolari, and Seppo Pynnonen (2018). A robust and powerful test of abnormal stock returns in long-horizon event studies. Journal of Empirical Finance 47, 1--24. DOI:10.1016/j.jempfin.2018.02.004 [WP on SSRN]
  10. Högholm, Kenneth, Johan Knif, Gregory Koutmos, and Seppo Pynnonen (2017). Asymmetric fund performance characteristics. A comparison of European and US large-cap funds. Multinational Finance Journal 21(1), 1--20 [Abstract]
  11. Knif, Johan, James Kolari, and Seppo Pynnönen (2014). Market conditions and time varying conditional correlations. Applied Finance Letters 3(1), 22--27. [Complete Issue (pdf)]
  12. Pynnönen, Seppo (2012). Distribución de las transformaciones lineales de los residuos mínimos cuadrados studentizados internamente. / Distribtion of linear transformations of internally studentized least squares residuals. Pecvnia Monográfico 85--110. [Abstract] [Complete paper (pdf)]
  13. Pynnonen, Seppo (2012). Distribution of an arbitrary linear transformation of internally Studentized residuals of multivariate regression with elliptical errors. Journal of Multivariate Analysis 107, 40--52. DOI:10.1016/j.jmva.2012.01.014 [Abstract]
  14. Armstrong, Will, Johan Kinf, James Kolari, and Seppo Pynnonen (2012). Exchange risk and universal returns: A test of international arbitrage pricing theory. Pacific-Basin Finance Journal 20(1), 24--40. DOI:10.1016/j.pacfin.2011.08.003 [Abstract]
  15. Fraser, Donald R., James W. Kolari, Seppo Pynnonen, and T. Kyle Tippens (2011). Market power, bank mergers, and welfare of bank borrowers. Journal of Financial Research 34, 641--658. DOI: 10.1111/j.1475-6803.2011.01305.x [Abstract]
  16. Kolari, James and Seppo Pynnonen (2011). Nonparametric Rank Tests for Event Studies. Journal of Empirical Finace 18, 953--971. DOI:10.1016/j.jempfin.2011.08.003 [Abstract]
  17. Högholm, Kenneth, Johan Knif, Gregory Koutmos, and Seppo Pynnonen (2011). Distributional asymmetry of loadings on market co-moments, Journal of International Financial Markets, Institutions & Money 21, 867--873. [Abstract]
  18. Högholm, Kenneth, Johan Knif, and Seppo Pynnonen (2011). Cross-distributional robustness of conditional weekday effects: Evidence from European equity-index returns, European Journal of Finance 17, 377--390. [Abstract]
  19. Nikkinen, Jussi, Seppo Pynnonen, Mikko Ranta, and Sami Vähämaa (2011). Cross-dynamics of exchange rate expectations: A wavelet analysis. International Journal of Finance and Economics 16, 205--217. DOI: 10.1002/ijfe.423 [Abstrtact]
  20. Högholm, Kenneth, Johan Knif, and Seppo Pynnonen (2011). Common local asymetry and day-of-the-week effects among EU-equity markets. Quantitative Finance 2, 219--227, iFirst: Feb 10, 2010, 1-9. DOI: 10.1080/14697680903311155 [Abstract]
  21. Högholm, Kenneth, Johan Knif, and Seppo Pynnonen (2011). Fund performance robustness: An evaluation using European large-cap equity funds, Frontiers in Finance and Economics 8, 1--26. [Complete paper (pdf)]
  22. Kolari, James and Seppo Pynnonen (2010). Event study testing with cross-sectional correlation of abnormal returns. Review of Financial Studies 23, 3996--4025. DOI: 10.1093/rfs/hhq072 [Abstract] [Online Appendix] [Proof of Equation 8]
  23. Knif, Johan, James Kolari, and Seppo Pynnonen (2008). Stock market reaction to good and bad inflation news. Journal of Financial Research 31(2), 141--166. [Abstract]
  24. Knif, Johan and Seppo Pynnonen (2007). Volatility driven changes in stock return correlation dynamics. Managerial Finance, 33(3), 220--235.
  25. Pynnonen, Seppo, Warren Hogan, and Jonathan Batten (2006). Modelling credit spreads on yen Eurobonds within an equilibrium correction framework. Journal of Applied Fincnanial Economics, 16, 583--606.
  26. Kovero, Outi, Seppo Pynnönen, Kaija Kuurila-Svahn, Ilkka Kaitila, and Janna Waltimo-Sirén (2006). Skull base abnormalities in osteogenesis imperfecta: a chephalometric evaluation of 54 patients and 108 control volunteers. J Neurosurg 105, 361--370.
  27. Waltimo-Sirén, Janna, Marina Kolkka, Seppo Pynnönen, Kaija Kuurila, Ilkka Kaitila, and Outi Kovero (2005). Craniofacial features in osteogenesis imperfecta: A cephalometric study. American Journal of Medical Genetics 133A, 142--150.
  28. Kuurila, K., S. Pynnonen, and R. Grénman (2004). Stages surgery in osteogenesis imperfecta in in Finland. Ann Otol Rhinol Laryngol, 113, 1987--1993.
  29. Kuurila, K., E. Kentala, I. Kaitila, R. Grénman, S. Karjalainen, S. Pynnönen, J. Waltimo (2003). Vestibular Dysfunction in Adult Patients with Osteogenesis Imperfecta. American Journal of Medical Genetics, 120A(3),350--358.
  30. Pynnonen, Seppo, Warren Hogan and Jonathan Batten (2002). Expectations and liquidity in yen bond markets. Journal of the Asian Pasific Economy, 7, No. 3. Abstract
  31. Pynnönen, Seppo and Juuso Vataja (2002). Bootsrap testing for cointegration of international commodity prices. Applied Economics, 34, 637--647. Abstract
  32. Anari, Ali, James Kolari, Seppo Pynnonen and Antti Suvanto (2002). Further Evidence on the Credit View: The Case of Finland. Applied Economics, 34, 267--278. Abstract
  33. Kallunki, Juha-Pekka, Jorma Larimo and Seppo Pynnonen (2001). Value creation in foreign direct investments. Management International Review, 41, No. 4, 357--376. Abstract
  34. Batten, Jonathan, Warren Hogan and Seppo Pynnonen (2000). The dynamics of Australian dollar bonds with different credit qualities. International Review of Financial Analysis 6(4), 389--404. Abstract
  35. Knif, Johan and Seppo Pynnonen (1999). Local and global price memory of international stock markets. Journal of International Financial Markets, Institutions & Money 9, 129--147. This article is also published in International Securities, Volumes 1&2, edited by G. Philippatos and G. Koutmos. This collection of articles is a part of the International Library of Critical Writings in Financial Economics edited by Richard Roll and published by Edgar Elger Publishing Inc. Abstract
  36. Pynnonen, Seppo, and Johan Knif (1998). Common long-term and short-term price memory in two Scandinavian stock markets. Applied Financial Economics 8, 257--265. Abstract
  37. Martikainen, T., Perttunen, J., Pynnonen, S., and Yli-Olli, P. (1997). A confirmatory test on the stability of financial ratio patterns. Advances in Quantitative Finance and Accounting 5, 137--160.Abstract
  38. Knif, J., Pynnonen, S., and Luoma, M. (1996). Testing for common autocorrelation features of two Scandinavian Stock Markets. International Review of Financial Analysis 5, No. 1, 55--64. Abstract
  39. Pynnonen, S., J. Knif, and M. Luoma (1996). A new look at the volatility information flows between stock markets; A case of two Nordic stock exchanges. Journal of International Financial Markets, Institutions & Money 6, No. 2/3, 69--92. Abstract
  40. Knif, J., S. Pynnonen, and M. Luoma (1995). An Analysis of Lead-Lag Structures Using Frequency Domain Approach. European Journal of Operational Research 81, 259--270. Abstract
  41. Luoma, M., Martikainen, T., Perttunen, J., and Pynnonen, S. (1994). Different beta estimation techniques in infrequently traded and inefficient stock markets. Omega, Int. J. Mgmt Sci 22, No. 5, pp. 471--476.
  42. Pynnonen, S. (1992). Stepwise variable selection in quadratic discriminant analysis. Statistica Applicata 4, No. 4, 443--452. Abstract