Detecting long-run abnormal stock returns: The empirical power and specification of test statistics
Brad M. Barber,John D. Lyon +1 more
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TLDR
In this paper, the empirical power and specification of test statistics in event studies designed to detect long-run (one to five-year) abnormal stock returns were analyzed and three reasons for this misspecification were identified.About:
This article is published in Journal of Financial Economics.The article was published on 1997-03-01 and is currently open access. It has received 2946 citations till now. The article focuses on the topics: Stock market index.read more
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Performance matched discretionary accrual measures
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Corporate governance, chief executive officer compensation, and firm performance
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Introductory Econometrics for Finance
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Politically Connected Firms
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From State to Market: A Survey of Empirical Studies on Privatization
TL;DR: In this paper, the authors survey the literature examining the privatization of state-owned enterprises (SOEs) and the types of privatization, if and by how much privatization has improved the performance of former SOEs in nontransition and transition countries, how investors in privatizations have fared, and the impact of privatization on the development of capital markets and corporate governance.
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Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
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The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
Book
Nonparametric Statistical Methods
Myles Hollander,Douglas A. Wolfe +1 more
TL;DR: An ideal text for an upper-level undergraduate or first-year graduate course, Nonparametric Statistical Methods, Second Edition is also an invaluable source for professionals who want to keep abreast of the latest developments within this dynamic branch of modern statistics.
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Using daily stock returns: The case of event studies
TL;DR: In this paper, the authors examine properties of daily stock returns and how the particular characteristics of these data affect event study methodologies and show that recognition of autocorrelation in daily excess returns and changes in their variance conditional on an event can sometimes be advantageous.
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The Long‐Run Performance of initial Public Offerings
TL;DR: In this article, the authors used a sample of 1,526 IPOs that went public in the U.S. in the 1975-84 period, and found that in the 3 years after going public these firms significantly underperformed a set of comparable firms matched by size and industry.