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Alternative Methods for Robust Analysis in Event Study Applications · Study

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PreprintAlternative Methods for Robust Analysis in Event Study Applications

Lisa A. Kramer2001

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Preprintgreen2001

Alternative Methods for Robust Analysis in Event Study Applications

44 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1965The Behavior of Stock-Market Prices 1985Using daily stock returns 1963The Variation of Certain Speculative Prices 1997Event Studies in Economics and Finance 1997The variation of certain speculative prices 1992ARCH modeling in finance

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2004Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters 2005Applying event study analysis to assess the impact of marketing communication strategies: the case of sponsorship 2005The Information Content of Registered Insider Trading Under Lax Law Enforcement 2007Impact of mergers and acquisitions on stock returns of tramp shipping firms 2009Coerced integration 2022The effect of movie and television placements

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1995Chapter 29 Empirical methods of event studies in corporate financechapter · 11 shared references 2006Volatility clustering and event-induced volatility: Evidence from UK mergers and acquisitionsarticle · 11 shared references 2003All Events Induce Variance: Analyzing Abnormal Returns When Effects Vary Across Firmspreprint · 10 shared references 2007All Events Induce Variance: Analyzing Abnormal Returns When Effects Vary across Firmsarticle · 9 shared references 2003Event‐Induced Volatility and Tests for Abnormal Performancearticle · 9 shared references 2000A Complete Nonparametric Event Study Approacharticle · 9 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations44

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.278109

openalex_workW2129039552

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