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Implications of survival and data trimming for tests of market efficiency

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  • Kothari, S. P.
  • Sabino, Jowell S.
  • Zach, Tzachi
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    File URL: http://www.sciencedirect.com/science/article/B6V87-4CXMW3M-1/2/f70990ea58dc37e03ebf9b4cbecfe46f
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Accounting and Economics.

    Volume (Year): 39 (2005)
    Issue (Month): 1 (February)
    Pages: 129-161

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    Handle: RePEc:eee:jaecon:v:39:y:2005:i:1:p:129-161

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    Web page: http://www.elsevier.com/locate/jae

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    1. Frankel, Richard & Lee, Charles M. C., 1998. "Accounting valuation, market expectation, and cross-sectional stock returns," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 25(3), pages 283-319, June.
    2. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    3. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. " Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-78, December.
    4. Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 13(4), pages 305-340, December.
    5. Eugene F. Fama, . "Market Efficiency, Long-term Returns, and Behavioral Finance," CRSP working papers 340, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    6. Lys, Thomas & Sabino, Jowell S., 1992. "Research design issues in grouping-based tests," Journal of Financial Economics, Elsevier, Elsevier, vol. 32(3), pages 355-387, December.
    7. Collins, Daniel W. & Hribar, Paul, 2000. "Earnings-based and accrual-based market anomalies: one effect or two?," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 29(1), pages 101-123, February.
    8. Dechow, Patricia M. & Sloan, Richard G., 1997. "Returns to contrarian investment strategies: Tests of naive expectations hypotheses," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(1), pages 3-27, January.
    9. Gu, Zhaoyang & Wu, Joanna Shuang, 2003. "Earnings skewness and analyst forecast bias," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 35(1), pages 5-29, April.
    10. Rajan, Raghuram & Servaes, Henri, 1997. " Analyst Following of Initial Public Offerings," Journal of Finance, American Finance Association, vol. 52(2), pages 507-29, June.
    11. Kothari, S. P. & Warner, Jerold B., 1997. "Measuring long-horizon security price performance," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(3), pages 301-339, March.
    12. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(1), pages 3-56, February.
    13. Thomas, Wayne B., 1999. "A test of the market's mispricing of domestic and foreign earnings," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 28(3), pages 243-267, December.
    14. Terence Lim, 2001. "Rationality and Analysts' Forecast Bias," Journal of Finance, American Finance Association, vol. 56(1), pages 369-385, 02.
    15. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
    16. Alon Brav, 2000. "Inference in Long-Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings," Journal of Finance, American Finance Association, vol. 55(5), pages 1979-2016, October.
    17. Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(3), pages 341-372, March.
    18. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
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    Cited by:
    1. McPherson, Matthew Q. & Palardy, Joseph, 2007. "Are international stock returns predictable?: An examination of linear and non-linear predictability using generalized spectral tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 452-464, December.
    2. Richardson, Scott & Tuna, Irem & Wysocki, Peter, 2010. "Accounting anomalies and fundamental analysis: A review of recent research advances," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 50(2-3), pages 410-454, December.
    3. Hardjo Koerniadi & Alireza Tourani-Rad, 2007. "Accrual or Cash Flow Anomaly? Evidence from New Zealand," Accounting Research Journal, Emerald Group Publishing, vol. 20(1), pages 21-36, May.
    4. Beaver, William & McNichols, Maureen & Price, Richard, 2007. "Delisting returns and their effect on accounting-based market anomalies," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 43(2-3), pages 341-368, July.
    5. LaFond, Ryan, 2005. "Is the Accrual Anomaly a Global Anomaly?," Working papers 27856, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    6. Kousenidis, Dimitrios V. & Ladas, Anestis C. & Negakis, Christos I., 2013. "The effects of the European debt crisis on earnings quality," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 351-362.
    7. Karl-Heinz Leitner & Stefan G├╝ldenberg, 2010. "Generic strategies and firm performance in SMEs: a longitudinal study of Austrian SMEs," Small Business Economics, Springer, vol. 35(2), pages 169-189, September.
    8. Hann, Rebecca N. & Heflin, Frank & Subramanayam, K.R., 2007. "Fair-value pension accounting," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 44(3), pages 328-358, December.

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