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Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares

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  • Malatesta, Paul H.

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  • Malatesta, Paul H., 1986. "Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(01), pages 27-38, March.
  • Handle: RePEc:cup:jfinqa:v:21:y:1986:i:01:p:27-38_01
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    Cited by:

    1. Cyree, Ken B & DeGennaro, Ramon P, 2002. "A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk," Review of Quantitative Finance and Accounting, Springer, vol. 19(4), pages 399-416, December.
    2. Brewer, Elijah III & Genay, Hesna & Hunter, William Curt & Kaufman, George G., 2003. "The value of banking relationships during a financial crisis: Evidence from failures of Japanese banks," Journal of the Japanese and International Economies, Elsevier, vol. 17(3), pages 233-262, September.
    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. Carter, David A. & Simkins, Betty J., 2004. "The market's reaction to unexpected, catastrophic events: the case of airline stock returns and the September 11th attacks," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 539-558, September.
    5. Roger M. Shelor & Dwight C. Anderson & Mark L. Cross, 1990. "The Impact of the California Earthquake on Real Estate Firms' Stock Value," Journal of Real Estate Research, American Real Estate Society, vol. 5(3), pages 335-340.
    6. K. Chau & S. Wong & C. Yiu & Maurice Tse & Frederik Pretorius, 2010. "Do Unexpected Land Auction Outcomes Bring New Information to the Real Estate Market?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 480-496, May.
    7. Tarcisio da Graca & Robert Masson, 2012. "More power to you: properties of a more powerful event study methodology," Review of Accounting and Finance, Emerald Group Publishing, vol. 11(2), pages 166-183, May.
    8. Walter Teets & Robert P. Parks, 1993. "A Simulation Investigation of Firm-Specific Equation Models as Used in Accounting Information Event Studies," Econometrics 9307001, University Library of Munich, Germany.
    9. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 45(3), pages 365-390, September.
    10. da Graça, Tarcisio B., 2010. "Improving the statistical power of financial event studies: The inverse variance weighted average-based test," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 803-817, September.
    11. Elijah Brewer & Ann Marie Klingenhagen, 2010. "Be careful what you wish for: the stock market reactions to bailing out large financial institutions: Evidence from the USA," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 18(1), pages 56-69, February.
    12. Elijah Brewer & Hesna Genay & William C. Hunter & George G. Kaufman, 1999. "Does the Japanese stock market price bank risk? evidence from financial firm failures," Working Paper Series WP-99-31, Federal Reserve Bank of Chicago.
    13. Elijah Brewer & William Jackson, 2000. "Requiem for a Market Maker: The Case of Drexel Burnham Lambert and Junk Bonds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(3), pages 209-235, September.
    14. Elijah Brewer & Hesna Genay & George G. Kaufman, 2003. "Banking relationships during financial distress: the evidence from Japan," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 2-18.
    15. Gu, Lulu & Reed, W. Robert, 2013. "Information asymmetry, market segmentation, and cross-listing: Implications for event study methodology," Journal of Asian Economics, Elsevier, vol. 28(C), pages 28-40.
    16. Dewenter, Kathryn L. & Han, Xi & Malatesta, Paul H., 2010. "Firm values and sovereign wealth fund investments," Journal of Financial Economics, Elsevier, vol. 98(2), pages 256-278, November.
    17. Karpoff, Jonathan M. & Malatesta, Paul H., 1995. "State takeover legislation and share values: The wealth effects of Pennsylvania's Act 36," Journal of Corporate Finance, Elsevier, vol. 1(3-4), pages 367-382, April.
    18. repec:eee:jbfina:v:91:y:2018:i:c:p:70-85 is not listed on IDEAS
    19. İsmail Aktar, 2005. "A Comparison of the Effects of the Chernobyl and Three Mile Island Nuclear Accidents on the U.S. Electric Utility Industry," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2005-2.
    20. David A. Carter & Daniel A. Rogers & Betty J. Simkins & Stephen D. Treanor, 2013. "Does hedging reduce economic exposure? Hurricanes, jet fuel prices and airlines," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 14, pages 341-354 Edward Elgar Publishing.
    21. Marcus A. Ingram & Virginia C. Ingram, 1993. "Consistent Estimation Of Residual Variance In Regulatory Event Studies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(2), pages 151-160, June.

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