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Regression vs. non-regression models of normal returns: implications for event studies
13 references·1 citing·42 second hop
Regression vs. non-regression models of normal returns: implications for event studies (1999)Regression vs. non-regression models of n…A Cointegration Analysis of Treasury Bill Yields (2008)A Cointegration Analysis of T…Robust Estimation of Beta Coefficients: Evidence from a Small Stock Market (1998)Robust Estimation of Beta Coe…Event Studies in Economics and Finance (1997)Event Studies in Economics an…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Misspecification testing and robust estimation of the market model and their implications for event studies (1996)Misspecification testing and …MODELLING ABNORMAL RETURNS: A REVIEW ARTICLE (1992)MODELLING ABNORMAL RETURNS: A…A Cointegration Analysis of Treasury Bill Yields (1992)A Cointegration Analysis of T…Estimating Long-Run Economic Equilibria (1991)Estimating Long-Run Economic …The theory and practice of econometrics (1986)The theory and practice of ec…Using daily stock returns (1985)Using daily stock returnsAn Econometric Analysis of the Choice of Daily Versus Monthly Returns in Tests of Information Content (1984)An Econometric Analysis of th…Measuring security price performance (1980)Measuring security price perf…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Robust vs. OLS estimation of the market model: implications for event studies (2000)Robust vs. OLS estimation of …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Fully modified OLS for heterogeneous cointegrated panels (2004)On the estimation and inference of a cointegrated regression in panel data (2004)A Theory of the Term Structure of Interest Rates (1985)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Co-integration and Error Correction: Representation, Estimation, and Testing (1991)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Quantile cointegrating regression (2008)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)An Empirical Evaluation of Accounting Income Numbers (1968)Positive Accounting Theory (1985)Evidence on the nature and extent of the relationship between oil prices and equity values in the UK (2005)Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries (2009)Event study methodology in the marketing literature: an overview (2017)The Adjustment of Stock Prices to New Information (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)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)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Some Consequences of Temporal Aggregation in Empirical Analysis (1999)
this work references cited by second hop

References

  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1985Using daily stock returns6,497 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1980Measuring security price performance3,330 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1991Estimating Long-Run Economic Equilibria854 cited
  • 1992A Cointegration Analysis of Treasury Bill Yields392 cited
  • 1992MODELLING ABNORMAL RETURNS: A REVIEW ARTICLE349 cited
  • 2008A Cointegration Analysis of Treasury Bill Yields320 cited
  • 1984An Econometric Analysis of the Choice of Daily Versus Monthly Returns in Tests of Information Content60 cited
  • 1996Misspecification testing and robust estimation of the market model and their implications for event studies30 cited
  • 1998Robust Estimation of Beta Coefficients: Evidence from a Small Stock Market23 cited

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  • 2000Robust vs. OLS estimation of the market model: implications for event studies19 cited

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