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Sample selection and event study estimation

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References

1993Common risk factors in the returns on stocks and bonds26,615 cited
1997On Persistence in Mutual Fund Performance17,267 cited
1992The Cross-Section of Expected Stock Returns17,251 cited
1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
1985Using daily stock returns6,497 cited
1981The relationship between return and market value of common stocks5,928 cited
2012The Econometrics of Financial Markets5,875 cited
1997Industry costs of equity5,793 cited
1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
2004Firm size and the gains from acquisitions2,355 cited
1999Improved Methods for Tests of Long‐Run Abnormal Stock Returns1,826 cited
1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited

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1996Detecting abnormal operating performance: The empirical power and specification of test statistics1,609 cited

2000Managerial Decisions and Long‐Term Stock Price Performance1,573 cited

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