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Long-run performance evaluation: Correlation and heteroskedasticity-consistent tests

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  • Jegadeesh, Narasimhan
  • Karceski, Jason

Abstract

Although there is an extensive literature that evaluates long-run stock returns, the statistical tests that are commonly used are misspecified when event firms share common characteristics. For example, industry clustering or overlapping returns in the sample contribute to test misspecification. We propose a new test of long-run performance that allows for heteroskedasticity and autocorrelation. Our tests are well-specified in random samples and in samples with industry clustering and with overlapping returns.

Suggested Citation

  • Jegadeesh, Narasimhan & Karceski, Jason, 2009. "Long-run performance evaluation: Correlation and heteroskedasticity-consistent tests," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 101-111, January.
  • Handle: RePEc:eee:empfin:v:16:y:2009:i:1:p:101-111
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. repec:eee:corfin:v:45:y:2017:i:c:p:378-400 is not listed on IDEAS
    2. Jiang, George J. & Lu, Liangliang & Zhu, Dongming, 2014. "The information content of analyst recommendation revisions — Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 1-17.
    3. Busse, Jeffrey A. & Clifton Green, T. & Jegadeesh, Narasimhan, 2012. "Buy-side trades and sell-side recommendations: Interactions and information content," Journal of Financial Markets, Elsevier, vol. 15(2), pages 207-232.
    4. Bilinski, Pawel & Liu, Weimin & Strong, Norman, 2012. "Does liquidity risk explain low firm performance following seasoned equity offerings?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2770-2785.
    5. repec:spr:rvmgts:v:11:y:2017:i:4:d:10.1007_s11846-016-0206-z is not listed on IDEAS
    6. repec:taf:oaefxx:v:3:y:2015:i:1:p:1065948 is not listed on IDEAS
    7. Yusnidah Ibrahim & Md Mohan Uddin & Kamarun Nisham Taufil Mohd & Mohd Sobri Minai, 2013. "Agency Costs and the Long-Run Performance of Debt Issuers," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 9(1), pages 67-87.
    8. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2012. "Building Castles in the Air: Evidence from Industry IPO Waves," NBER Working Papers 18555, National Bureau of Economic Research, Inc.
    9. Dionysia Dionysiou, 2015. "Choosing Among Alternative Long-Run Event-Study Techniques," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 158-198, February.

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