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Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods

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  • Thompson, Rex
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 20 (1985)
    Issue (Month): 02 (June)
    Pages: 151-168

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    Handle: RePEc:cup:jfinqa:v:20:y:1985:i:02:p:151-168_01

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    Cited by:
    1. Karceski, J. & Ongena, S. & Smith, D.C., 2000. "The Impact of Bank Consolidation on Commercial Borrower Welfare," Discussion Paper 2000-87, Tilburg University, Center for Economic Research.
    2. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 45(3), pages 365-390, September.
    3. Fernandes, Nuno & Lel, Ugur & Miller, Darius P., 2010. "Escape from New York: The market impact of loosening disclosure requirements," Journal of Financial Economics, Elsevier, vol. 95(2), pages 129-147, February.
    4. da Gra├ža, Tarcisio B., 2010. "Improving the statistical power of financial event studies: The inverse variance weighted average-based test," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 803-817, September.
    5. Steven Ongena & David C. Smith & Dag Michalsen, 2000. "Firms and their distressed banks: lessons from the Norwegian banking crisis (1988-1991)," International Finance Discussion Papers 686, Board of Governors of the Federal Reserve System (U.S.).
    6. Mosebach, Michael, 1999. "Market response to banks granting lines of credit," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1707-1723, November.
    7. Rongbing Huang & James G. Tompkins, 2010. "Corporate governance and investor reactions to seasoned equity offerings," Managerial Finance, Emerald Group Publishing, vol. 36(7), pages 603-628, July.
    8. Beatty, Anne & Chamberlain, Sandra & Magliolo, Joseph, 1996. "An empirical analysis of the economic implications of fair value accounting for investment securities," Journal of Accounting and Economics, Elsevier, vol. 22(1-3), pages 43-77, October.
    9. Ongena, Steven & Smith, David C. & Michalsen, Dag, 1999. "Distressed relationships: Lessons from the Norwegian banking crisis," CFS Working Paper Series 2000/01, Center for Financial Studies (CFS).
    10. John M. Abowd & George T. Milkovich & John M. Hannon, 1990. "The effects of human resource management decisions on shareholder value," Industrial and Labor Relations Review, ILR Review, Cornell University, ILR School, vol. 43(3), pages 203-236, February.
    11. Kryzanowski, Lawrence & Switzer, Lorne & Jiang, Li, 1995. "Stock market crash behavior of screen-sorted portfolios," International Review of Economics & Finance, Elsevier, vol. 4(3), pages 227-244.
    12. Huang, Roger D. & Li, Hang, 2009. "Does the market dole out collective punishment? An empirical analysis of industry, geography, and Arthur Andersen's reputation," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1255-1265, July.
    13. Chelley-Steeley, Patricia L. & Skvortsov, Leonid, 2010. "Efficiency and the trading system: The case of SETSmm," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 509-518, December.
    14. Stehle, Richard & Seifert, Udo, 2003. "Stock Performance around Share Repurchase Announcements in Germany," SFB 373 Discussion Papers 2003,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

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