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A contribution to event study methodology with an application to the Dutch stock market

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  • de Jong, Frank
  • Kemna, Angelien
  • Kloek, Teun

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File URL: http://www.sciencedirect.com/science/article/B6VCY-45JK60M-20/2/3394d3a88f8113ed8083b29e661d50ea
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 16 (1992)
Issue (Month): 1 (February)
Pages: 11-36

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Handle: RePEc:eee:jbfina:v:16:y:1992:i:1:p:11-36

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

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References

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  1. McCurdy, Thomas H & Morgan, Ieuan G, 1988. "Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(3), pages 187-202, July-Sept.
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Citations

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Cited by:
  1. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
  2. repec:hal:cesptp:halshs-00115655 is not listed on IDEAS
  3. Mosebach, Michael, 1999. "Market response to banks granting lines of credit," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1707-1723, November.
  4. Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997. "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 255-275, October.
  5. Donders, Monique W. M. & Vorst, Ton C. F., 1996. "The impact of firm specific news on implied volatilities," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1447-1461, November.
  6. Gunther Capelle-Blancard & Nicolas Couderc, 2005. "What drives the market value of firms in the Defense industry ?," Cahiers de la Maison des Sciences Economiques bla06037, Université Panthéon-Sorbonne (Paris 1), revised Apr 2006.
  7. Banerjee, Pradip & Banerjee, Prithviraj & De, Soumen & Jindra, Jan & Mukhopadhyay, Jayanta, 2014. "Acquisition pricing in India during 1995–2011: Have Indian acquirers really beaten the odds?," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 14-30.
  8. Benjamin R. Auer & Horst Rottmann, 2013. "Is there a Friday the 13th Effect in Emerging Asian Stock Markets?," CESifo Working Paper Series 4409, CESifo Group Munich.
  9. Attiya Y. Javid, 2007. "Stock Market Reaction to Catastrophic Shock : Evidence from Listed Pakistani Firms," Finance Working Papers 22199, East Asian Bureau of Economic Research.
  10. repec:hal:journl:halshs-00115655 is not listed on IDEAS
  11. Husain, Fazal & UPPAL, Jamshed, 1999. "Stock Returns Volatility in an Emerging Market: The Pakistani Evidence," MPRA Paper 5270, University Library of Munich, Germany.
  12. Baker, H. Kent & Rahman, Abdul & Saadi, Samir, 2008. "The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, Elsevier, vol. 17(4), pages 280-295, December.

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