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A new stochastically flexible event methodology with application to Proposition 103

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  • Brockett, Patrick L.
  • Chen, Hwei-Mei
  • Garven, James R.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-3XX69SF-8/2/2d0127484962cd4b9c1955ebf675238c
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 25 (1999)
    Issue (Month): 2 (November)
    Pages: 197-217

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    Handle: RePEc:eee:insuma:v:25:y:1999:i:2:p:197-217

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(02), pages 133-169, June.
    2. Fields, Joseph A. & Ghosh, Chinmoy & Kidwell, David S. & Klein, Linda S., 1990. "Wealth effects of regulatory reform *1: The reaction to California's proposition 103," Journal of Financial Economics, Elsevier, Elsevier, vol. 28(1-2), pages 233-250.
    3. Chen, Son-Nan & Keown, Arthur J, 1981. "Risk Decomposition and Portfolio Diversification When Beta Is Nonstationary: A Note," Journal of Finance, American Finance Association, American Finance Association, vol. 36(4), pages 941-47, September.
    4. G. William Schwert & Paul J. Seguin, 1991. "Heteroskedasticity in Stock Returns," NBER Working Papers 2956, National Bureau of Economic Research, Inc.
    5. Frankfurter, George M. & McGoun, Elton G., 1993. "The event study: An industrial strength method," International Review of Financial Analysis, Elsevier, Elsevier, vol. 2(2), pages 121-141.
    6. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(1), pages 3-31, March.
    7. Hsu, D.A., 1982. "Robust inferences for structural shift in regression models," Journal of Econometrics, Elsevier, Elsevier, vol. 19(1), pages 89-107, May.
    8. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, Elsevier, vol. 30(2), pages 253-272, December.
    9. J. David Cummins & Sharon Tennyson, 1992. "Controlling Automobile Insurance Costs," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 6(2), pages 95-115, Spring.
    10. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(3), pages 205-258, September.
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    Cited by:
    1. Gunther Capelle-Blancard & Nicolas Couderc, 2006. "What drives the market value of firms in the Defense industry ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00115655, HAL.
    2. Carroll, Carolyn & Griffith, John M., 2010. "Toeholds, rejected offers, and bidder gains: Do rebuffed bidders put targets in play to profit from their toeholds?," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(2), pages 214-221, May.
    3. Devaney, Michael, 2012. "Financial crisis, REIT short-sell restrictions and event induced volatility," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(2), pages 219-226.
    4. Elshahat, A. & Parhizgari, Ali & Hong, Liang, 2012. "The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions," Journal of Economics and Business, Elsevier, Elsevier, vol. 64(1), pages 90-104.

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