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Conducting Event Studies on a Small Stock Exchange
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Conducting Event Studies on a Small Stock Exchange (2005)Conducting Event Studies on a Small Stock…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Improved Methods for Tests of…Event Studies in Economics and Finance (1997)Event Studies in Economics an…Measuring security price performance using daily NASDAQ returns (1993)Measuring security price perf…Conducting event studies with thinly traded stocks (1993)Conducting event studies with…The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns (1992)The Specification and Power o…Standard Errors in Event Studies (1992)Standard Errors in Event Stud…Nonparametric event study tests (1992)Nonparametric event study tes…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…A nonparametric test for abnormal security-price performance in event studies (1989)A nonparametric test for abno…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Using daily stock returns (1985)Using daily stock returnsMeasuring security price performance (1980)Measuring security price perf…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)Corporate Forecasts of Earnin…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)R2 around the world: New theory and new tests☆ (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Earnings Management During Import Relief Investigations (1991)The Adjustment of Stock Prices to New Information (1969)Introductory Econometrics for Finance (2008)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: II (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Investors Trade Too Much? (1999)Managerial Decisions and Long‐Term Stock Price Performance (2000)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)ARCH modeling in finance (1992)The arbitrage theory of capital asset pricing (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Capital markets research in accounting (2001)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Event Study Methodology Since 1969 (1998)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Testing Asymmetric-Information Asset Pricing Models (2012)
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References

  • 1985Using daily stock returns6,497 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1980Measuring security price performance3,330 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1999Improved Methods for Tests of Long‐Run Abnormal Stock Returns1,826 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
  • 1992Nonparametric event study tests669 cited
  • 1992The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns470 cited
  • 1993Measuring security price performance using daily NASDAQ returns247 cited
  • 1992Standard Errors in Event Studies206 cited
  • 1993

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Conducting event studies with thinly traded stocks
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