Handling missing prices in a thinly traded stock market: implications for the specification of event study methods
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 103 (1997)
Issue (Month): 1 (November)
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Web page: http://www.elsevier.com/locate/eor
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- Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
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- Maynes, Elizabeth & Rumsey, John, 1993. "Conducting event studies with thinly traded stocks," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 145-157, February.
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- Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
- Luoma, M & Martikainen, T & Perttunen, J & Pynnönen, S, 1994. "Different beta estimation techniques in infrequently traded and inefficient stock markets," Omega, Elsevier, vol. 22(5), pages 471-476, September.
- Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
- Berglund, Tom & Liljeblom, Eva & Loflund, Anders, 1989. "Estimating betas on daily data for a small stock market," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 41-64, March.
- Sahlstrom, Petri, 2001. "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 19-36.
- Kallunki, Juha-Pekka, 1997. "Using accounting variables as instrumental risk measures in event studies: evidence from a thinly traded stock market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 189-202, October.
- Ferguson, Andrew & Scott, Tom, 2011. "Market reactions to Australian boutique resource investor presentations," Resources Policy, Elsevier, vol. 36(4), pages 330-338.
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