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Conditional heteroskedasticity adjusted market model and an event study
14 references·16 citing·35 second hop
Conditional heteroskedasticity adjusted market model and an event study (1996)Conditional heteroskedasticity adjusted m…The Revolution in corporate finance (2003)The Revolution in corporate f…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…The effect of corporate divestments on shareholder wealth: The UK experience (1992)The effect of corporate dives…The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…Modeling Heteroscedasticity in Daily Foreign-Exchange Rates (1989)Modeling Heteroscedasticity i…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Effect of Voluntary Sell-Off Announcements on Shareholder Wealth (1985)The Effect of Voluntary Sell-…Additional Evidence on the Relation Between Divestiture Announcements and Shareholder Wealth (1984)Additional Evidence on the Re…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…The effect of marketing department power on investor responses to announcements of AI-embedded new product innovations (2022)The effect of marketing depar…An analysis of investors’ behavior in Bitcoin market (2022)An analysis of investors’ beh…The Effects of Service Crises and Recovery Resources on Market Reactions: An Event Study Analysis on Data Breach Announcements (2021)The Effects of Service Crises…Does sustainability index matter to the hospitality industry? (2020)Does sustainability index mat…Stock Market Reactions to New Product Launches in International Markets: The Moderating Role of Culture (2019)Stock Market Reactions to New…When do the stock market returns to new product preannouncements predict product performance? Empirical evidence from the U.S. automotive industry (2016)When do the stock market retu…Sustainable Project Finance, the Adoption of the Equator Principles and Shareholder Value Effects (2013)Sustainable Project Finance, …Economic effects by merger and acquisition types in the renewable energy sector: An event study approach (2013)Economic effects by merger an…The Positive and Negative Impacts of the Sars Outbreak: A Case of the Taiwan Industries (2009)The Positive and Negative Imp…Impact of Mad Money Stock Recommendations: Merging Financial and Marketing Perspectives (2009)Impact of Mad Money Stock Rec…An Extension of Security Price Reactions Around Product Recall Announcements (2005)An Extension of Security Pric…On the estimation of stock‐market reaction to corporate layoff announcements (2004)On the estimation of stock‐ma…Measuring the Impact of Corporate Investment Announcements on Share Prices: The Spanish Experience (2003)Measuring the Impact of Corpo…An investigation of insider trading profits in the Spanish stock market (2002)An investigation of insider t…Alternative Methods for Robust Analysis in Event Study Applications (2001)Alternative Methods for Robus…Size, time‐varying beta, and conditional heteroscedasticity in UK stock returns (1999)Size, time‐varying beta, and …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Periodic Autoregressive Conditional Heteroscedasticity (1996)Of Smiles and Smirks: A Term Structure Perspective (1999)A test for volatility spillover with application to exchange rates (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Stock market volatility and the information content of stock index options (1992)Stock prices and the Wall Street weather (1993)Asymmetric volatility transmission in international stock markets (1995)Multivariate GARCH models: a surveyCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE 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.] (1975)The Adjustment of Stock Prices to New Information (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
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  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 2002The Message in Daily Exchange Rates791 cited
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  • 1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited
  • 1985The Effect of Voluntary Sell-Off Announcements on Shareholder Wealth321 cited
  • 1984Additional Evidence on the Relation Between Divestiture Announcements and Shareholder Wealth213 cited
  • 2003The Revolution in corporate finance180 cited
  • 1992The effect of corporate divestments on shareholder wealth: The UK experience94 cited

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The Positive and Negative Impacts of the Sars Outbreak: A Case of the Taiwan Industries
203 cited
  • 2002An investigation of insider trading profits in the Spanish stock market105 cited
  • 2020Does sustainability index matter to the hospitality industry?88 cited
  • 2005An Extension of Security Price Reactions Around Product Recall Announcements65 cited
  • 2013Sustainable Project Finance, the Adoption of the Equator Principles and Shareholder Value Effects52 cited
  • 2003Measuring the Impact of Corporate Investment Announcements on Share Prices: The Spanish Experience51 cited
  • 2004On the estimation of stock‐market reaction to corporate layoff announcements44 cited
  • 2001Alternative Methods for Robust Analysis in Event Study Applications44 cited
  • 2021The Effects of Service Crises and Recovery Resources on Market Reactions: An Event Study Analysis on Data Breach Announcements43 cited
  • 1999Size, time‐varying beta, and conditional heteroscedasticity in UK stock returns41 cited
  • 2013Economic effects by merger and acquisition types in the renewable energy sector: An event study approach40 cited
  • 2019Stock Market Reactions to New Product Launches in International Markets: The Moderating Role of Culture38 cited
  • 2022The effect of marketing department power on investor responses to announcements of AI-embedded new product innovations36 cited
  • 2022An analysis of investors’ behavior in Bitcoin market36 cited
  • 2009Impact of Mad Money Stock Recommendations: Merging Financial and Marketing Perspectives30 cited
  • 2016When do the stock market returns to new product preannouncements predict product performance? Empirical evidence from the U.S. automotive industry28 cited