A new stochastically flexible event methodology with application to Proposition 103
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- Chen, Son-Nan & Keown, Arthur J, 1981. "Risk Decomposition and Portfolio Diversification When Beta Is Nonstationary: A Note," Journal of Finance, American Finance Association, vol. 36(4), pages 941-947, September.
- J. David Cummins & Sharon Tennyson, 1992. "Controlling Automobile Insurance Costs," Journal of Economic Perspectives, American Economic Association, vol. 6(2), pages 95-115, Spring.
- Fields, Joseph A. & Ghosh, Chinmoy & Kidwell, David S. & Klein, Linda S., 1990. "Wealth effects of regulatory reform *1: The reaction to California's proposition 103," Journal of Financial Economics, Elsevier, vol. 28(1-2), pages 233-250.
- Hsu, D.A., 1982. "Robust inferences for structural shift in regression models," Journal of Econometrics, Elsevier, vol. 19(1), pages 89-107, May.
- Schwert, G William & Seguin, Paul J, 1990. " Heteroskedasticity in Stock Returns," Journal of Finance, American Finance Association, vol. 45(4), pages 1129-1155, September.
- Frankfurter, George M. & McGoun, Elton G., 1993. "The event study: An industrial strength method," International Review of Financial Analysis, Elsevier, vol. 2(2), pages 121-141.
- Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
- 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.
- Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 133-169, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jiang Cheng & Elyas Elyasiani & Tzu-Ting Lin, 2010. "Market Reaction to Regulatory Action in the Insurance Industry: The Case of Contingent Commission," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 347-368.
- Devaney, Michael, 2012. "Financial crisis, REIT short-sell restrictions and event induced volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 219-226.
- Elyas Elyasiani & Sotiris K. Staikouras & Panagiotis Dontis-Charitos, 2016. "Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 681-718, September.
- Grammatikos, Theoharry & Lehnert, Thorsten & Otsubo, Yoichi, 2015.
"Market perceptions of US and European policy actions around the subprime crisis,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 37(C), pages 99-113.
- Yoichi Otsubo & Theoharry Grammatikos & Thorsten Lehnert, 2012. "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," LSF Research Working Paper Series 12-14, Luxembourg School of Finance, University of Luxembourg.
- Theoharry Grammatikos & Thorsten Lehnert & Yoichi Otsubo, 2014. "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," IMES Discussion Paper Series 14-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
- repec:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0623-3 is not listed on IDEAS
- Capelle-Blancard, Gunther & Couderc, Nicolas, 2008.
"What drives the market value of firms in the defense industry,"
Review of Financial Economics,
Elsevier, vol. 17(1), pages 14-32.
- Gunther Capelle-Blancard & Nicolas Couderc, 2005. "What drives the market value of firms in the Defense industry ?," Cahiers de la Maison des Sciences Economiques bla06037, Université Panthéon-Sorbonne (Paris 1), revised Apr 2006.
- Gunther Capelle-Blancard & Nicolas Couderc, 2006. "What drives the market value of firms in the Defense industry ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00115655, HAL.
- Gunther Capelle-Blancard & Nicolas Couderc, 2008. "What drives the market value of firms in the defense industry?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00305380, HAL.
- Carroll, Carolyn & Griffith, John M., 2010. "Toeholds, rejected offers, and bidder gains: Do rebuffed bidders put targets in play to profit from their toeholds?," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 214-221, May.
- Elshahat, A. & Parhizgari, Ali & Hong, Liang, 2012. "The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions," Journal of Economics and Business, Elsevier, vol. 64(1), pages 90-104.
- Yoo, Kyungjin & Lee, Youah & Heo, Eunnyeong, 2013. "Economic effects by merger and acquisition types in the renewable energy sector: An event study approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 26(C), pages 694-701.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:25:y:1999:i:2:p:197-217. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.