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Interacting biases, non-normal return distributions and the performance of tests for long-horizon event studies

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  • Cowan, Arnold R.
  • Sergeant, Anne M. A.

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  • Cowan, Arnold R. & Sergeant, Anne M. A., 2001. "Interacting biases, non-normal return distributions and the performance of tests for long-horizon event studies," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 741-765, April.
    • Handle: RePEc:eee:jbfina:v:25:y:2001:i:4:p:741-765
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    14. Brav, Alon & Gompers, Paul A, 1997. "Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies," Journal of Finance, American Finance Association, vol. 52(5), pages 1791-1821, December.
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    17. 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.
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    20. Raghavendra Rau, P. & Vermaelen, Theo, 1998. "Glamour, value and the post-acquisition performance of acquiring firms," Journal of Financial Economics, Elsevier, vol. 49(2), pages 223-253, August.
    21. Clark, Kent & Ofek, Eli, 1994. "Mergers as a Means of Restructuring Distressed Firms: An Empirical Investigation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(4), pages 541-565, December.
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    2. Jan Bo Jakobsen & Torben Voetmann, 2003. "Post-acquisition performance in the short and long run. Evidence from the Copenhagen Stock Exchange 1993-1997," The European Journal of Finance, Taylor & Francis Journals, vol. 9(4), pages 323-342.
    3. Cowan, Arnold R. & Salotti, Valentina, 2015. "The resolution of failed banks during the crisis: Acquirer performance and FDIC guarantees, 2008–2013," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 222-238.
    4. Brooks, Chris & Godfrey, Chris & Hillenbrand, Carola & Money, Kevin, 2016. "Do investors care about corporate taxes?," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 218-248.
    5. Sudi Sudarsanam & Ashraf A. Mahate, 2003. "Glamour Acquirers, Method of Payment and Post‐acquisition Performance: The UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(1‐2), pages 299-342, January.
    6. Klein, Christian & Schiereck, Dirk & Ton, Thai, 2018. "Die langfristige Wertentwicklung von Equity Carve-outs – Aktuelle empirische Evidenz für Westeuropa," Die Unternehmung - Swiss Journal of Business Research and Practice, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 72(3), pages 197-211.
    7. Jan Bo Jakobsen & Torben Voetmann, 2005. "A New Approach for Interpreting Long-Run Returns, Applied to IPO and SEO Stocks," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 337-363, November.
    8. Amporn SOONGSWANG, 2012. "Do M&A Enhance Values? Mixed Methods And Evidence," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 312-325.
    9. James Sfiridis & Alan Gelfand, 2002. "A survey of sampling-based Bayesian analysis of financial data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 273-291.
    10. Cowan, Arnold R. & Salotti, Valentina & Schenck, Natalya A., 2022. "The long-term impact of bank mergers on stock performance and default risk: The aftermath of the 2008 financial crisis✰," Finance Research Letters, Elsevier, vol. 48(C).
    11. Robert Campbell & Erasmo Giambona & C. Sirmans, 2009. "The Long-Horizon Performance of REIT Mergers," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 105-114, February.
    12. Galvani, Valentina & Li, Lifang, 2023. "Outliers and momentum in the corporate bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 135-148.
    13. Syed Emad Azhar Ali & Fong-Woon Lai & Rohail Hassan & Muhammad Kashif Shad, 2021. "The Long-Run Impact of Information Security Breach Announcements on Investors’ Confidence: The Context of Efficient Market Hypothesis," Sustainability, MDPI, vol. 13(3), pages 1-27, January.
    14. Louis, Henock & White, Hal, 2007. "Do managers intentionally use repurchase tender offers to signal private information? Evidence from firm financial reporting behavior," Journal of Financial Economics, Elsevier, vol. 85(1), pages 205-233, July.
    15. Zhao, Zhongkuang & Li, Shuqi & Xiong, Heping, 2014. "Short sale constraints, disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 42(C), pages 333-342.
    16. Ehrhardt, Olaf & Koerstein, Ralf, 1999. "Die Simulation langfristiger Überrenditen," SFB 373 Discussion Papers 1999,56, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    17. Gerardo Dubcovsky & Francisco Venegas-Martínez, 2003. "The Kalman Filter In The Event-Study Methodology," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 2(1), pages 81-93, Marzo 200.
    18. Jo, Hoje & Kim, Yongtae, 2007. "Disclosure frequency and earnings management," Journal of Financial Economics, Elsevier, vol. 84(2), pages 561-590, May.

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