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The market model and the event study method: A synthesis of econometric criticisms: Comment

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  • Rumsey, John

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  • Rumsey, John, 1996. "The market model and the event study method: A synthesis of econometric criticisms: Comment," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 79-81.
    • Handle: RePEc:eee:finana:v:5:y:1996:i:1:p:79-81
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    References listed on IDEAS

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    1. Shanken, Jay, 1985. "Multivariate tests of the zero-beta CAPM," Journal of Financial Economics, Elsevier, vol. 14(3), pages 327-348, September.
    2. Corrado, Charles J. & Zivney, Terry L., 1992. "The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 465-478, September.
    3. Coutts, J. Andrew & Mills, Terence C. & Roberts, Jennifer, 1994. "The market model and the event study method: A synthesis of the econometric criticisms," International Review of Financial Analysis, Elsevier, vol. 3(2), pages 149-171.
    4. Maynes, Elizabeth & Rumsey, John, 1993. "Conducting event studies with thinly traded stocks," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 145-157, February.
    5. Corrado, Charles J., 1989. "A nonparametric test for abnormal security-price performance in event studies," Journal of Financial Economics, Elsevier, vol. 23(2), pages 385-395, August.
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