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Event study methodologies and the size effect · Study

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ArticleEvent study methodologies and the size effect

Elroy Dimson1986

Article1986

Event study methodologies and the size effect

Elroy Dimson · Paul Marsh

293 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1985Using daily stock returns 1981The relationship between return and market value of common stocks 1969The Adjustment of Stock Prices to New Information 1980Measuring security price performance 1972Capital Market Equilibrium with Restricted Borrowing

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Year1986

Typearticle

Published1986-09-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations293

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(86)90008-5

openalex_workW1525757289

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1999Murphy's Law and Market Anomalies 2012Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 2010Realized jumps on financial markets and predicting credit spreads 1998A brief history of market efficiency 1993Conducting event studies with thinly traded stocks 1998Equity Carve‐Outs and Managerial Discretion 1989Stock market anomalies 2009Sample selection and event study estimation