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

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Author Info

  • Jong, F.C.J.M. de

    (Tilburg University)

  • Kemna, A.
  • Kloek, T.

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File URL: http://arno.uvt.nl/show.cgi?fid=76421
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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-384516.

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Date of creation: 1992
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Publication status: Published in Journal of Banking and Finance (1992) v.16, p.11-36
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-384516

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Web page: http://www.tilburguniversity.edu/

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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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Cited by:
  1. Mosebach, Michael, 1999. "Market response to banks granting lines of credit," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1707-1723, November.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Husain, Fazal & UPPAL, Jamshed, 1999. "Stock Returns Volatility in an Emerging Market: The Pakistani Evidence," MPRA Paper 5270, University Library of Munich, Germany.
  8. 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.

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