On the Use of the Log CAR Measure in Event Studies
AbstractCross-sectional averages of log returns have been used to measure shareholder wealth effects in several event studies. No adequate explanation of the implied portfolio strategy has ever been provided in the literature. We argue that the method is biased or does not portray a realistic portfolio strategy. It should therefore be used with caution in the event-study' literature. Copyright Blackwell Publishers Ltd, 2003.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.
Volume (Year): 30 (2003-09)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X
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- Dickgiesser, Sebastian & Kaserer, Christoph, 2008.
"Market efficiency reloaded: why insider trades do not reveal exploitable information,"
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2008-04, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
- Sebastian Dickgiesser & Christoph Kaserer, 2010. "Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information," German Economic Review, Verein für Socialpolitik, vol. 11, pages 302-335, 08.
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