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Measurement of Abnormal Returns from Small Firms

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  • Morgan, Alison
  • Morgan, Ieuan
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    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 5 (1987)
    Issue (Month): 1 (January)
    Pages: 121-29

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    Handle: RePEc:bes:jnlbes:v:5:y:1987:i:1:p:121-29

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    Cited by:
    1. Javid, Attiya Yasmin & Ahmad, Eatzaz, 2008. "Testing multifactor capital asset pricing model in case of Pakistani market," MPRA Paper 37341, University Library of Munich, Germany.
    2. Lee, Hyunchul & Kim, Dukyong & Seo, Minkyo, 2013. "Market valuation of marketing alliances in East Asia: Korean evidence," Journal of Business Research, Elsevier, vol. 66(12), pages 2492-2499.
    3. Bernardo Batiz-Lazo & Douglas Wood, 2003. "Effects of regulatory change on European banks: A case study on the strategy and stock market performance of Lloyds Bank (1980-1993)," Economic History 0301004, EconWPA.
    4. Juan Luis Nicolau, 2001. "Parametric And Nonparametric Approaches To Event Studies: An Application To A Hotel'S Market Value," Working Papers. Serie AD 2001-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    5. Kryzanowski, Lawrence & Zhang, Hao, 1991. "Valuation effects of Canadian stock split announcements," Economics Letters, Elsevier, vol. 36(3), pages 317-322.
    6. Markus Mentz & Dirk Schiereck, 2008. "Cross-border mergers and the cross-border effect: the case of the automotive supply industry," Review of Managerial Science, Springer, vol. 2(3), pages 199-218, November.
    7. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    8. Tim BOLLERSLEV & Ray Y. CHOU & Narayanan JAYARAMAN & Kenneth F. KRONER, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ENSAE, issue 24, pages 1-59.
    9. Nicolau, Juan Luis & Sellers, Ricardo, 2010. "The quality of quality awards: Diminishing information asymmetries in a hotel chain," Journal of Business Research, Elsevier, vol. 63(8), pages 832-839, August.

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