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The Bayesian Random Coefficient Market Model In Event Studies: The Case Of Earnings Announcements

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  • Byungjun Ahn
  • Hyun Mo Sung

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Suggested Citation

  • Byungjun Ahn & Hyun Mo Sung, 1995. "The Bayesian Random Coefficient Market Model In Event Studies: The Case Of Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 22(6), pages 907-922, September.
    • Handle: RePEc:bla:jbfnac:v:22:y:1995:i:6:p:907-922
    DOI: 10.1111/j.1468-5957.1995.tb00397.x
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    References listed on IDEAS

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    2. Beaver, Wh & Clarke, R & Wright, Wf, 1979. "Association Between Unsystematic Security Returns And The Magnitude Of Earnings Forecast Errors," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 17(2), pages 316-340.
    3. Brown, Keith C. & Harlow, W. V. & Tinic, Seha M., 1988. "Risk aversion, uncertain information, and market efficiency," Journal of Financial Economics, Elsevier, vol. 22(2), pages 355-385, December.
    4. Beaver, Wh, 1968. "Information Content Of Annual Earnings Announcements," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 6, pages 67-92.
    5. Ball, R & Brown, P, 1968. "Empirical Evaluation Of Accounting Income Numbers," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 6(2), pages 159-178.
    6. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 101-116, March.
    7. Ball, Ray & Kothari, S. P., 1989. "Nonstationary expected returns : Implications for tests of market efficiency and serial correlation in returns," Journal of Financial Economics, Elsevier, vol. 25(1), pages 51-74, November.
    8. Hagerman, Rl & Zmijewski, Me & Shah, P, 1984. "The Association Between The Magnitude Of Quarterly Earnings Forecast Errors And Risk-Adjusted Stock Returns," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 22(2), pages 526-540.
    9. Kross, W & Schroeder, Da, 1984. "An Empirical-Investigation Of The Effect Of Quarterly Earnings Announcement Timing On Stock Returns," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 22(1), pages 153-176.
    10. Ibbotson, Roger G., 1975. "Price performance of common stock new issues," Journal of Financial Economics, Elsevier, vol. 2(3), pages 235-272, September.
    11. Chen, Son-Nan & Lee, Cheng F., 1982. "Bayesian and mixed estimators of time varying betas," Journal of Economics and Business, Elsevier, vol. 34(4), pages 291-301.
    12. 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.
    13. Maier, Steven F. & Peterson, David W. & Vander Weide, James H., 1977. "A Monte Carlo Investigation of Characteristics of Optimal Geometric Mean Portfolios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(2), pages 215-233, June.
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