The Event Study Methodology Since 1969

[1]  John J. Binder,et al.  Regulation, Profit Variability and Beta , 1999 .

[2]  P. Brockett,et al.  Event Study Methodology: A New And Stochastically Flexible Approach , 1998 .

[3]  Brad M. Barber,et al.  Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics , 1997 .

[4]  J. Campbell,et al.  Event Studies in Economics and Finance , 1997 .

[5]  Nagpurnanand R. Prabhala,et al.  Conditional Methods in Event-Studies and an Equilibrium Justification for Standard Event-Study Procedures , 1997 .

[6]  Cheng-Few Lee,et al.  Systematic risk, wage rates, and factor substitution , 1995 .

[7]  Robert A. Korajczyk,et al.  The Arbitrage Pricing Theory and Multifactor Models of Asset Returns , 1993, Finance.

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[9]  I. Karafiath,et al.  On the Efficiency of Least Squares Regression with Security Abnormal Returns as the Dependent Variable , 1994, Journal of Financial and Quantitative Analysis.

[10]  Measuring market response to regulation of the cable TV industry , 1993 .

[11]  Consistent Estimation of Residual Variance in Regulatory Event Studies , 1993 .

[12]  E. Fama,et al.  Common risk factors in the returns on stocks and bonds , 1993 .

[13]  A. Cowan.  Tests for cumulative abnormal returns over long periods: Simulation evidence , 1993 .

[14]  Sankarshan Acharya,et al.  Value of Latent Information: Alternative Event Study Methods , 1993 .

[15]  Arnold R. Cowan,et al.  Nonparametric event study tests , 1992 .

[16]  B. Balachandran,et al.  More Powerful Portfolio Approaches to Regressing Abnormal Returns on Firm‐Specific Variables for Cross‐Sectional Studies , 1992 .

[17]  R. Butler,et al.  An analysis of “exactly distributed” test statistics for multivariate event tests , 1992 .

[18]  John J. Binder.  BETA, FIRM SIZE, and CONCENTRATION , 1992 .

[19]  R. Chou,et al.  ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .

[20]  M. Salinger,et al.  Standard Errors in Event Studies , 1992, Journal of Financial and Quantitative Analysis.

[21]  Ekkehart Boehmer,et al.  Event-study methodology under conditions of event-induced variance , 1991 .

[22]  R. Sweeney.  Levels of significance in event studies , 1991 .

[23]  Russell P. Robins,et al.  Discriminating between wealth and information effects in event studies in accounting and finance research , 1991 .

[24]  I. Karafiath,et al.  The Brazilian default announcement and the contagion effect hypothesis , 1991 .

[25]  Anthony M. Santomero.  Money supply announcements: A retrospective , 1991 .

[26]  R. Chandra,et al.  A methodological note on detecting a location shift in the distribution of abnormal returns: A nonparametric approach , 1990 .

[27]  Vojislav Maksimovic,et al.  Consistent Estimation of Cross-Sectional Models in Event Studies , 1990 .

[28]  G. V. Henderson,et al.  Problems and Solutions in Conducting Event Studies , 1990 .

[29]  Marcia Millon Cornett,et al.  An Examination of the Impact of the Garn-St. Germain Depository Institutions Act of 1982 on Commercial Banks and Savings and Loans , 1990 .

[30]  N. Arshadi,et al.  The wealth effects of the risk-based capital requirement in banking: The evidence from the capital market , 1990 .

[31]  A REEXAMINATION OF THE POWER OF ALTERNATIVE RETURN-GENERATING MODELS AND THE EFFECT OF ACCOUNTING FOR CROSS-SECTIONAL DEPENDENCIES IN EVENT STUDIES , 1990 .

[32]  William T. Moore,et al.  A Re-examination of Shareholder Wealth Effects of Calls of Convertible Preferred Stock , 1989 .

[33]  Kenneth A. Froot.  Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data , 1989, Journal of Financial and Quantitative Analysis.

[34]  Stephen A. Ross,et al.  A Test of the Efficiency of a Given Portfolio , 1989 .

[35]  C. Corrado.  A nonparametric test for abnormal security-price performance in event studies , 1989 .

[36]  I. Karafiath,et al.  Intra-Industry Effects of a Regulatory Shift: Capital Market Evidence from Penn Square , 1989 .

[37]  R. Prager,et al.  Using stock price data to measure the effects of regulation: the Interstate Commerce Act and the railroad industry , 1989 .

[38]  George L. Nemhauser,et al.  Handbooks in operations research and management science , 1989 .

[39]  Walter N. Torous,et al.  Investigating security-price performance in the presence of event-date uncertainty , 1988 .

[40]  John J. Binder,et al.  The Sherman Antitrust Act and the Railroad Cartels , 1988, The Journal of Law and Economics.

[41]  William J. Wilhelm,et al.  The Impact of the 1980 Depository Institutions Deregulation and Monetary Control Act on Market Value and Risk: Evidence from the Capital Markets , 1988 .

[42]  I. Karafiath,et al.  Using Dummy Variables in the Event Methodology , 1988 .

[43]  W. Mikkelson,et al.  Withdrawn Security Offerings , 1988, Journal of Financial and Quantitative Analysis.

[44]  Joel E. Thompson,et al.  More Methods That Make Little Difference In Event Studies , 1988 .

[45]  B. Mcdonald.  Event Studies and Systems Methods: Some Additional Evidence , 1987, Journal of Financial and Quantitative Analysis.

[46]  A. Saunders,et al.  Intra- and Interindustry Effects of Bank Securities Market Activities: The Case of Discount Brokerage , 1987, Journal of Financial and Quantitative Analysis.

[47]  A. Mackinlay.  On multivariate tests of the CAPM , 1987 .

[48]  Victor L. Bernard,et al.  CROSS-SECTIONAL DEPENDENCE AND PROBLEMS IN INFERENCE IN MARKET-BASED ACCOUNTING RESEARCH , 1987 .

[49]  Arthur D. Warga,et al.  The Pricing of Interest‐Rate Risk: Evidence from the Stock Market , 1986 .

[50]  C. J. Simon,et al.  The Effect of the 1933 Securities Act on Investor Information and the Performance of New Issues , 1986 .

[51]  Arthur D. Warga,et al.  The Possibility of Estimating Risk Premia in Asset Pricing Models , 1986 .

[52]  Paul H. Malatesta.  Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares , 1986, Journal of Financial and Quantitative Analysis.

[53]  Joseph E. Finnerty,et al.  On Accounting-based, Market-based and Composite-based Beta Predictions: Methods and Implications , 1986 .

[54]  G. Jarrell,et al.  Studying Firm-Specific Effects of Regulation with Stock Market Data: An Application to Oil Price Regulation , 1986 .

[55]  Rex Thompson,et al.  AN APPROACH TO STATISTICAL-INFERENCE IN CROSS-SECTIONAL MODELS WITH SECURITY ABNORMAL RETURNS AS DEPENDENT VARIABLE , 1986 .

[56]  Grace Pownall,et al.  An Empirical Analysis of the Regulation of the Defense Contracting Industry: The Cost Accounting Standards Board , 1986 .

[57]  Eric W. Noreen,et al.  Detecting Contemporaneous Security Market Reactions To A Sequence Of Related Events , 1986 .

[58]  S. Ross,et al.  Economic Forces and the Stock Market , 1986 .

[59]  Sankarshan Acharya.  A generalized model of rational stock price reaction to corporate policy announcement : why are convertibles called "late"? (event-study, signalling tests, asymmetric information) , 1986 .

[60]  The Impacts of Kurtosis on Risk Stationarity: Some Empirical Evidence , 1985 .

[61]  Stephen J. Brown,et al.  Derived factors in event studies , 1985 .

[62]  Jay Shanken,et al.  Multivariate tests of the zero-beta CAPM , 1985 .

[63]  Rex Thompson,et al.  Partially anticipated events: A model of stock price reactions with an application to corporate acquisitions , 1985 .

[64]  Rex Thompson.  Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods , 1985, Journal of Financial and Quantitative Analysis.

[65]  N. Rose.  The incidence of regulatory rents in the motor carrier industry , 1985 .

[66]  John J. Binder.  Measuring the Effects of Regulation with Stock Price Data , 1985 .

[67]  John J. Binder.  On The Use Of The Multivariate Regression-Model In Event Studies , 1985 .

[68]  K. Schipper,et al.  The Impact Of Merger-Related Regulations Using Exact Distributions Of Test Statistics , 1985 .

[69]  Barry Doyle.  Evaluating the wealth effects of regulation using daily stock return data : some methodological issues , 1985 .

[70]  Christopher M. James,et al.  The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions , 1984 .

[71]  John S. Hughes,et al.  Accounting for retail land sales: Analysis of a mandated change , 1984 .

[72]  Daniel W. Collins,et al.  A COMPARISON OF ALTERNATIVE TESTING METHODOLOGIES USED IN CAPITAL-MARKET RESEARCH , 1984 .

[73]  Donna R. Philbrick,et al.  A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach , 1984 .

[74]  M. Marais.  An Application of the Bootstrap Method to the Analysis of Squared, Standardized Market Model Prediction Errors , 1984 .

[75]  D. J. Fowler,et al.  Risk measurement when shares are subject to infrequent trading : Comment , 1983 .

[76]  Donald B. Keim.  SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical Evidence , 1983 .

[77]  Jerold B. Warner,et al.  On corporate governance: A study of proxy contests , 1983 .

[78]  K. Schipper,et al.  THE IMPACT OF MERGER-RELATED REGULATIONS ON THE SHAREHOLDERS OF ACQUIRING FIRMS , 1983 .

[79]  A. Buse.  The Likelihood Ratio, Wald, and Lagrange Multiplier Tests: An Expository Note , 1982 .

[80]  M. Maloney,et al.  A Positive Theory of Environmental Quality Regulation , 1982, The Journal of Law and Economics.

[81]  G. Chamberlain.  Multivariate regression models for panel data , 1982 .

[82]  G. Schwert.  Using Financial Data to Measure Effects of Regulation , 1981, The Journal of Law and Economics.

[83]  S. Ross,et al.  An Empirical Investigation of the Arbitrage Pricing Theory , 1980 .

[84]  Jerold B. Warner,et al.  MEASURING SECURITY PRICE PERFORMANCE , 1980 .

[85]  Lawrence A. Gordon,et al.  Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis , 1980, Journal of Financial and Quantitative Analysis.

[86]  M. Subrahmanyam,et al.  Systematic Risk and the Theory of the Firm , 1980 .

[87]  H. White.  A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , 1980 .

[88]  Bruce C. Greenwald,et al.  A general analysis of bias in the estimated standard errors of least squares coefficients , 1980 .

[89]  E. Dimson.  Risk measurement when shares are subject to infrequent trading , 1979 .

[90]  J. Meisner.  The sad fate of the asymptotic Slutsky symmetry test for large systems , 1979 .

[91]  K. Laitinen.  Why is demand homogeneity so often rejected , 1978 .

[92]  Myron S. Scholes,et al.  Estimating betas from nonsynchronous data , 1977 .

[93]  Hui S. Chang,et al.  Using Pooled Time-Series and Cross-Section Data to Test the Firm and Time Effects in Financial Analyses , 1977, Journal of Financial and Quantitative Analysis.

[94]  Ernst R. Berndt,et al.  CONFLICT AMONG CRITERIA FOR TESTING HYPOTHESES IN THE MULTIVARIATE LINEAR REGRESSION MODEL , 1977 .

[95]  Dennis E. Logue,et al.  Foundations of Finance. , 1977 .

[96]  M. Brenner.  THE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS , 1977 .

[97]  S. Ross.  The arbitrage theory of capital asset pricing , 1976 .

[98]  J. Patell.  CORPORATE FORECASTS OF EARNINGS PER SHARE AND STOCK-PRICE BEHAVIOR - EMPIRICAL TESTS , 1976 .

[99]  George E. P. Box,et al.  Intervention Analysis with Applications to Economic and Environmental Problems , 1975 .

[100]  G. Mandelker.  Risk and return: The case of merging firms , 1974 .

[101]  Nicholas J. Gonedes,et al.  CAPITAL MARKET EQUILIBRIUM, INFORMATION PRODUCTION, AND SELECTING ACCOUNTING TECHNIQUES - THEORETICAL FRAMEWORK AND REVIEW OF EMPIRICAL WORK , 1974 .

[102]  J. Jaffe.  Special Information and Insider Trading , 1974 .

[103]  Nicholas J. Gonedes.  Evidence on the Information Content of Accounting Numbers: Accounting-based and Market-based Estimates of Systematic Risk , 1973, Journal of Financial and Quantitative Analysis.

[104]  E. Fama,et al.  Risk, Return, and Equilibrium: Empirical Tests , 1973, Journal of Political Economy.

[105]  F. Black.  Capital Market Equilibrium with Restricted Borrowing , 1972 .

[106]  Myron S. Scholes.  The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices , 1972 .

[107]  M. Blume.  ON THE ASSESSMENT OF RISK , 1971 .

[108]  E. Fama,et al.  Risk, Return, and Equilibrium , 1971, Journal of Political Economy.

[109]  H. Theil.  Principles of econometrics , 1971 .

[110]  M. C. Jensen,et al.  Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios , 1969 .

[111]  E. Fama,et al.  The Adjustment of Stock Prices to New Information , 1969 .

[112]  R. Ball,et al.  An empirical evaluation of accounting income numbers , 1968 .

[113]  W. Beaver.  The Information Content Of Annual Earnings Announcements , 1968 .

[114]  B. King.  Market and Industry Factors in Stock Price Behavior , 1966 .

[115]  Calyampudi R. Rao,et al.  Linear Statistical Inference and Its Applications. , 1975 .

[116]  J. Lintner.  THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .

[117]  W. Sharpe.  CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .

[118]  W. Sharpe.  A Simplified Model for Portfolio Analysis , 1963 .

[119]  A. Zellner.  An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias , 1962 .