Improving the statistical power of financial event studies: The inverse variance weighted average-based test
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References listed on IDEAS
- Thompson, Rex, 1985. "Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(02), pages 151-168, June.
- 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.
- A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
- McDonald, Bill, 1987. "Event Studies and Systems Methods: Some Additional Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(04), pages 495-504, December.
More about this item
KeywordsEvent study Simulation CRSP data Statistical test Statistical power;
StatisticsAccess and download statistics
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