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Event study methodologies and the size effect

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
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.]6,743 cited
1985Using daily stock returns6,497 cited
1981The relationship between return and market value of common stocks5,928 cited
1969The Adjustment of Stock Prices to New Information3,625 cited
1980Measuring security price performance3,330 cited
1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
2003The Adjustment of Stock Prices to New Information

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3,063 cited

1979Risk measurement when shares are subject to infrequent trading2,767 cited

1963A Simplified Model for Portfolio Analysis2,740 cited

1983Size-related anomalies and stock return seasonality1,800 cited

1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited

1978Some anomalous evidence regarding market efficiency1,419 cited

1981Misspecification of capital asset pricing1,286 cited

1979The effect of personal taxes and dividends on capital asset prices1,212 cited

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