Regression vs. non-regression models of normal returns: implications for event studies
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- Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
- Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
- 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.
- Cable, J & Holland, K, 1996. "Modelling Normal Returns in Event Studies: A Model-Selection Approach and Pilot Study," Working Papers 96-13, University of Wales, Aberystwyth, Department of Economics.
- A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
- Peter C. B. Phillips & Mico Loretan, 1991.
"Estimating Long-run Economic Equilibria,"
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Oxford University Press, vol. 58(3), pages 407-436.
- Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
- David C. Bowie & David J. Bradfield, 1998. "Robust Estimation of Beta Coefficients: Evidence from a Small Stock Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(3&4), pages 439-454.
- Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
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