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Alternative Methods for Robust Analysis in Event Study Applications
16 references·6 citing·24 second hop
Alternative Methods for Robust Analysis in Event Study Applications (2001)Alternative Methods for Robust Analysis i…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…The variation of certain speculative prices (1997)The variation of certain spec…Measuring long-horizon security price performance (1997)Measuring long-horizon securi…Event Studies in Economics and Finance (1997)Event Studies in Economics an…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH modeling in finance (1992)ARCH modeling in financeEvent-study methodology under conditions of event-induced variance (1991)Event-study methodology under…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…A nonparametric test for abnormal security-price performance in event studies (1989)A nonparametric test for abno…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 Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The effect of movie and television placements (2022)The effect of movie and telev…Coerced integration (2009)Coerced integrationImpact of mergers and acquisitions on stock returns of tramp shipping firms (2007)Impact of mergers and acquisi…The Information Content of Registered Insider Trading Under Lax Law Enforcement (2005)The Information Content of Re…Applying event study analysis to assess the impact of marketing communication strategies: the case of sponsorship (2005)Applying event study analysis…Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters (2004)Improving Tests of Abnormal R…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1985Using daily stock returns6,497 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 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
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1989A nonparametric test for abnormal security-price performance in event studies1,077 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1997

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Measuring long-horizon security price performance
991 cited

Cited by

  • 2004Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters41 cited
  • 2005Applying event study analysis to assess the impact of marketing communication strategies: the case of sponsorship39 cited
  • 2005The Information Content of Registered Insider Trading Under Lax Law Enforcement33 cited
  • 2007Impact of mergers and acquisitions on stock returns of tramp shipping firms30 cited
  • 2009Coerced integration25 cited
  • 2022The effect of movie and television placements17 cited