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Conditional heteroskedasticity adjusted market model and an event study

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  • Corhay, A.
  • Rad, A. Tourani

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  • Corhay, A. & Rad, A. Tourani, 1996. "Conditional heteroskedasticity adjusted market model and an event study," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 529-538.
  • Handle: RePEc:eee:quaeco:v:36:y:1996:i:4:p:529-538
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    References listed on IDEAS

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    1. Iqbal, Zahid & Dheeriya, Prakash L., 1991. "A comparison of the market model and random coefficient model using mergers as an event," Journal of Economics and Business, Elsevier, vol. 43(1), pages 87-93, February.
    2. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    4. Bera, Anil & Bubnys, Edward & Park, Hun, 1988. "Conditional Heteroscedasticity in the Market Model and Efficient Estimates of Betas," The Financial Review, Eastern Finance Association, vol. 23(2), pages 201-214, May.
    5. Francis X. Diebold & Jong Im & C. Jevons Lee, 1988. "Conditional heteroskedasticity in the market," Finance and Economics Discussion Series 42, Board of Governors of the Federal Reserve System (U.S.).
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
    8. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
    9. Jain, Prem C, 1985. " The Effect of Voluntary Sell-off Announcements on Shareholder Wealth," Journal of Finance, American Finance Association, vol. 40(1), pages 209-224, March.
    10. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Mónica Melle, 2005. "¿Cómo valora el mercado de valores español la adopción de planes de opciones sobre acciones para directivos y consejeros?," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 73-115, January.
    2. Koutmos, Gregory & Knif, Johan, 2002. "Time variation and asymmetry in systematic risk: evidence from the Finnish stock exchange," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 261-271, July.
    3. 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.
    4. Kryzanowski, Lawrence & Lazrak, Skander & Rakita, Ian, 2010. "Behavior of liquidity and returns around Canadian seasoned equity offerings," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2954-2967, December.
    5. Hahn, TeWhan & Reyes, Mario G., 2004. "On the estimation of stock-market reaction to corporate layoff announcements," Review of Financial Economics, Elsevier, vol. 13(4), pages 357-370.
    6. Lee, Hyunchul & Cho, Euije & Cheong, Chongcheul & Kim, Jinsu, 2013. "Do strategic alliances in a developing country create firm value? Evidence from Korean firms," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 30-41.
    7. Zeidan, Rodrigo & Müllner, Jakob, 2015. "Firm, market and top management antecedents of speculation: Lessons for corporate governance," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 42-58.
    8. Lee, Hyunchul & Kim, Dukyong & Seo, Minkyo, 2013. "Market valuation of marketing alliances in East Asia: Korean evidence," Journal of Business Research, Elsevier, vol. 66(12), pages 2492-2499.
    9. 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.
    10. Hollander, Hilke & Prokop, Jörg, 2015. "Stock price effects of asset securitization: The case of liquidity facility providers," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 147-160.
    11. Del Brio, Esther B. & Miguel, Alberto & Perote, Javier, 2002. "An investigation of insider trading profits in the Spanish stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 73-94.
    12. Reyes, Mario G., 1999. "Size, time-varying beta, and conditional heteroscedasticity in UK stock returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 1-10, June.
    13. 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.
    14. Mazouz, Khelifa & Saadouni, Bharim, 2007. "New evidence on the price and liquidity effects of the FTSE 100 index revisions," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 223-241.
    15. repec:bec:imsber:v:9:y:2017:i:3:p:104-122 is not listed on IDEAS
    16. Kalotychou, Elena & Staikouras, Sotiris K. & Zagonov, Maxim, 2009. "The UK equity market around the ex-split date," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 534-549, July.
    17. Sun, Changyou & Rahman, Mohammad M. & Munn, Ian A., 2013. "Adjustment of stock prices and volatility to changes in industrial timberland ownership," Forest Policy and Economics, Elsevier, vol. 26(C), pages 91-101.
    18. Mazouz, Khelifa & Wang, Jian, 2014. "Are commodity futures markets short-term efficient? An empirical investigation," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France 169763, Agricultural Economics Society.
    19. repec:eee:finana:v:57:y:2018:i:c:p:134-147 is not listed on IDEAS
    20. 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.

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