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Valid Inference in Single-Firm, Single-Event Studies
16 references·2 citing·33 second hop
Valid Inference in Single-Firm, Single-Event Studies (2011)Valid Inference in Single-Firm, Single-Ev…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Coups, Corporations, and Classified Information (2011)Coups, Corporations, and Clas…Detecting Illegal Arms Trade (2010)Detecting Illegal Arms TradeMarket Reaction to Events Surrounding the Sarbanes‐Oxley Act of 2002 and Earnings Management (2008)Market Reaction to Events Sur…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)Econometrics of Event Studies…Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments (2006)Mandated Disclosure, Stock Re…Event Studies and the Law: Part II: Empirical Studies of Corporate Law (2002)Event Studies and the Law: Pa…Event Studies and the Law: Part I: Technique and Corporate Litigation (2002)Event Studies and the Law: Pa…The Econometrics of Financial Markets (1997)The Econometrics of Financial…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIUsing daily stock returns (1985)Using daily stock returnsManagerial political power and the reallocation of resources in the internal capital market (2022)Managerial political power an…The impacts of Gramm–Leach–Bliley bank diversification on value and risk (2014)The impacts of Gramm–Leach–Bl…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Abnormal Bond Performance (2008)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)The effect of banking crisis on bank-dependent borrowers (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)An Empirical Evaluation of Accounting Income Numbers (1968)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Introductory Econometrics for Finance (2008)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Multifactor Explanations of Asset Pricing Anomalies (1996)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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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
  • 1985Using daily stock returns6,497 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2007Econometrics 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.841 cited
  • 2008Market Reaction to Events Surrounding the Sarbanes‐Oxley Act of 2002 and Earnings Management403 cited
  • 2006Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments309 cited
  • 2002Event Studies and the Law: Part I: Technique and Corporate Litigation169 cited
  • 2011Coups, Corporations, and Classified Information151 cited
  • 2002Event Studies and the Law: Part II: Empirical Studies of Corporate Law

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148 cited
  • 2010Detecting Illegal Arms Trade119 cited
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    • 2014The impacts of Gramm–Leach–Bliley bank diversification on value and risk56 cited
    • 2022Managerial political power and the reallocation of resources in the internal capital market28 cited