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Event Study Testing with Cross-sectional Correlation of Abnormal Returns
14 references·16 citing·38 second hop
Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Event Study Testing with Cross-sectional …The Econometrics of Financial Markets (2012)The Econometrics of Financial…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Econometrics of Event Studies…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Nonparametric event study tests (1992)Nonparametric event study tes…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…Outside directors, board independence, and shareholder wealth (1990)Outside directors, board inde…A nonparametric test for abnormal security-price performance in event studies (1989)A nonparametric test for abno…Using daily stock returns (1985)Using daily stock returnsMeasuring security price performance (1980)Measuring security price perf…Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)Corporate Forecasts of Earnin…The impact of the Russia-Ukraine conflict on energy firms: A capital market perspective (2022)The impact of the Russia-Ukra…Russia–Ukraine crisis: The effects on the European stock market (2022)Russia–Ukraine crisis: The ef…Valuation Effects of Norway’s Board Gender-Quota Law Revisited (2021)Valuation Effects of Norway’s…Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility (2021)Trump vs. Paris: The impact o…The influence of stablecoin issuances on cryptocurrency markets (2020)The influence of stablecoin i…Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak (2020)Event study on the reaction o…Green Bonds, Corporate Performance, and Corporate Social Responsibility (2019)Green Bonds, Corporate Perfor…Failure and Success in Mergers and Acquisitions (2019)Failure and Success in Merger…Do board gender quotas affect firm value? Evidence from California Senate Bill No. 826 (2019)Do board gender quotas affect…Carbon Risk and Corporate Capital Structure (2018)Carbon Risk and Corporate Cap…Impact of Environmental Performance on Firm Value for Sustainable Investment: Evidence from Large US Firms (2015)Impact of Environmental Perfo…Protection of Trade Secrets and Capital Structure Decisions (2014)Protection of Trade Secrets a…How the Market Values Greenwashing? Evidence from China (2014)How the Market Values Greenwa…Supervisors as information producers: Do stress tests reduce bank opaqueness? (2013)Supervisors as information pr…Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms (2013)Does the stock market value t…Nonparametric rank tests for event studies (2011)Nonparametric rank tests for …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Event Study Methodology Since 1969 (1998)The Adjustment of Stock Prices to New Information (2003)Does a Firm's Product-Recall Strategy Affect Its Financial Value? An Examination of Strategic Alternatives during Product-Harm Crises (2009)Testing Asymmetric-Information Asset Pricing Models (2012)Agency Problems and the Theory of the Firm (1980)Separation of Ownership and Control (1983)Outside directors and CEO turnover (1988)Causes and Consequences of Earnings Manipulation: An Analysis of Firms Subject to Enforcement Actions by the SEC* (1996)Higher market valuation of companies with a small board of directors (1996)Corporate governance, chief executive officer compensation, and firm performance (1999)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Event Studies in Economics and Finance (1997)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? 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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1985Using daily stock returns6,497 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1980Measuring security price performance3,330 cited
  • 1990Outside directors, board independence, and shareholder wealth1,930 cited
  • 1991Event-study methodology under conditions of event-induced variance1,777 cited
  • 1976Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test1,749 cited
  • 1989A nonparametric test for abnormal security-price performance in event studies1,077 cited
  • 2007Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance.841 cited
  • 1992Nonparametric event study tests669 cited

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  • 2018Carbon Risk and Corporate Capital Structure421 cited
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  • 2011Nonparametric rank tests for event studies266 cited
  • 2022The impact of the Russia-Ukraine conflict on energy firms: A capital market perspective248 cited
  • 2015Impact of Environmental Performance on Firm Value for Sustainable Investment: Evidence from Large US Firms236 cited
  • 2019Green Bonds, Corporate Performance, and Corporate Social Responsibility234 cited
  • 2020Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak214 cited
  • 2019Do board gender quotas affect firm value? Evidence from California Senate Bill No. 826211 cited
  • 2013Supervisors as information producers: Do stress tests reduce bank opaqueness?199 cited
  • 2013Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms193 cited
  • 2021Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility182 cited
  • 2021Valuation Effects of Norway’s Board Gender-Quota Law Revisited169 cited
  • 2020The influence of stablecoin issuances on cryptocurrency markets161 cited