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A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk
16 references·0 citing·38 second hop
A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk (2002)A Generalized Method for Detecting Abnorm…The overall gains from large bank mergers (1994)The overall gains from large …Long-term valuation effects of bank acquisitions (1994)Long-term valuation effects o…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A contribution to event study methodology with an application to the Dutch stock market (1992)A contribution to event study…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…Problems and Solutions in Conducting Event Studies (1990)Problems and Solutions in Con…Valuation effects of security offerings and the issuance process (1986)Valuation effects of security…Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares (1986)Measuring Abnormal Performanc…Using daily stock returns (1985)Using daily stock returnsAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Measuring security price performance (1980)Measuring security price perf…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…A REEXAMINATION OF STOCK SPLITS USING MOVING BETAS (1977)A REEXAMINATION OF STOCK SPLI…Price performance of common stock new issues (1975)Price performance of common s…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The Event Study Methodology Since 1969 (1998)The Adjustment of Stock Prices to New Information (2003)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Testing Asymmetric-Information Asset Pricing Models (2012)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Capital Structure Puzzle (1984)The New Issues Puzzle (1995)The Impact of Environmental Management on Firm Performance (1996)Event Studies in Economics and Finance (1997)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)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)ARCH modeling in finance (1992)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States (1999)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)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)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

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1985Using daily stock returns6,497 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1980Measuring security price performance3,330 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1991Event-study methodology under conditions of event-induced variance1,777 cited
  • 1975Price performance of common stock new issues1,341 cited
  • 1986Valuation effects of security offerings and the issuance process1,213 cited
  • 1994The overall gains from large bank mergers389 cited
  • 1990Problems and Solutions in Conducting Event Studies227 cited
  • 1986Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares144 cited
  • 1977A REEXAMINATION OF STOCK SPLITS USING MOVING BETAS96 cited
  • 1992A contribution to event study methodology with an application to the Dutch stock market87 cited

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  • 1994Long-term valuation effects of bank acquisitions72 cited
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