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Event‐Induced Volatility and Tests for Abnormal Performance
11 references·14 citing·32 second hop
Event‐Induced Volatility and Tests for Abnormal Performance (2003)Event‐Induced Volatility and Tests for Ab…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…The Event Study Methodology Since 1969 (1998)The Event Study Methodology S…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…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…A nonparametric test for abnormal security-price performance in event studies (1989)A nonparametric test for abno…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Using daily stock returns (1985)Using daily stock returnsMeasuring security price performance (1980)Measuring security price perf…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…The Impact of COVID-19 Lockdowns on Sustainable Indexes (2021)The Impact of COVID-19 Lockdo…Climate change policies: Good news or bad news for firms in the European Union? (2020)Climate change policies: Good…Do OPEC announcements influence oil prices? (2016)Do OPEC announcements influen…Effects of Mergers and Acquisitions on Shareholder Wealth: Event Study for Latin American Airlines (2015)Effects of Mergers and Acquis…Sustainable Project Finance, the Adoption of the Equator Principles and Shareholder Value Effects (2013)Sustainable Project Finance, …Personal and Contextual Variables Related to Work Hope Among Undergraduate Students From Underrepresented Backgrounds (2013)Personal and Contextual Varia…The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective (2010)The behavior of crude oil spo…On the existence of sports sentiment: the relation between football match results and stock index returns in Europe (2009)On the existence of sports se…Multi-Country Event Study Methods (2009)Multi-Country Event Study Met…Stock index reaction to large price changes: Evidence from major Asian stock indexes (2008)Stock index reaction to large…What drives the market value of firms in the defense industry? (2007)What drives the market value …Does IT outsourcing create firm value? (2007)Does IT outsourcing create fi…Volatility clustering and event-induced volatility: Evidence from UK mergers and acquisitions (2006)Volatility clustering and eve…All Events Induce Variance: Analyzing Abnormal Returns When Effects Vary Across Firms (2003)All Events Induce Variance: A…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)The Social Construction of Market Value: Institutionalization and Learning Perspectives on Stock Market Reactions (2004)Do international acquisitions by emerging-economy firms create shareholder value? The case of Indian firms (2009)Event studies: A methodology review (2010)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Foundations of Finance. (1977)Does female board representation influence firm performance? The Danish evidence (2007)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)An Empirical Evaluation of Accounting Income Numbers (1968)Introductory Econometrics for Finance (2008)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)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)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Testing Asymmetric-Information Asset Pricing Models (2012)ARCH modeling in finance (1992)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985Using daily stock returns6,497 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 1980Measuring security price performance3,330 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1991Event-study methodology under conditions of event-induced variance1,777 cited
  • 1989A nonparametric test for abnormal security-price performance in event studies1,077 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1998The Event Study Methodology Since 1969826 cited
  • 1993Measuring security price performance using daily NASDAQ returns247 cited

Cited by

  • 2010The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective128 cited
  • 2016Do OPEC announcements influence oil prices?80 cited
  • 2020Climate change policies: Good news or bad news for firms in the European Union?79 cited
  • 2013Sustainable Project Finance, the Adoption of the Equator Principles and Shareholder Value Effects

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52 cited
  • 2007What drives the market value of firms in the defense industry?47 cited
  • 2021The Impact of COVID-19 Lockdowns on Sustainable Indexes44 cited
  • 2003All Events Induce Variance: Analyzing Abnormal Returns When Effects Vary Across Firms30 cited
  • 2009Multi-Country Event Study Methods30 cited
  • 2009On the existence of sports sentiment: the relation between football match results and stock index returns in Europe27 cited
  • 2006Volatility clustering and event-induced volatility: Evidence from UK mergers and acquisitions24 cited
  • 2008Stock index reaction to large price changes: Evidence from major Asian stock indexes24 cited
  • 2007Does IT outsourcing create firm value?22 cited
  • 2015Effects of Mergers and Acquisitions on Shareholder Wealth: Event Study for Latin American Airlines18 cited
  • 2013Personal and Contextual Variables Related to Work Hope Among Undergraduate Students From Underrepresented Backgrounds15 cited