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The "CalPERS effect" revisited again

  • Nelson, James M.
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    File URL: http://www.sciencedirect.com/science/article/B6VFK-4GY8718-2/2/9eb52afcb4cd1175b32490d0f798bf35
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    Article provided by Elsevier in its journal Journal of Corporate Finance.

    Volume (Year): 12 (2006)
    Issue (Month): 2 (January)
    Pages: 187-213

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    Handle: RePEc:eee:corfin:v:12:y:2006:i:2:p:187-213
    Contact details of provider: Web page: http://www.elsevier.com/locate/jcorpfin

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    1. Corrado, Charles J., 1989. "A nonparametric test for abnormal security-price performance in event studies," Journal of Financial Economics, Elsevier, vol. 23(2), pages 385-395, August.
    2. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
    3. G. William Schwert, 2000. "Hostility in Takeovers: In the Eyes of the Beholder?," Journal of Finance, American Finance Association, vol. 55(6), pages 2599-2640, December.
    4. Eugene F Fama, . "Market Efficiency, Long-Term Returns, and Behavioral Finance," CRSP working papers 448, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    5. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
    6. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    7. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    8. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    9. Mark Anson & Ted White & Ho Ho, 2003. "The Shareholder Wealth Effects Of Calpers' Focus List," Journal of Applied Corporate Finance, Morgan Stanley, vol. 15(3), pages 102-111.
    10. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
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