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Gene Fama’s comments


  • Eugene Fama



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Suggested Citation

  • Eugene Fama, 2010. "Gene Fama’s comments," Review of Quantitative Finance and Accounting, Springer, vol. 35(2), pages 125-126, August.
  • Handle: RePEc:kap:rqfnac:v:35:y:2010:i:2:p:125-126
    DOI: 10.1007/s11156-009-0159-2

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    References listed on IDEAS

    1. 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.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Turan G. Bali & Panayiotis Theodossiou, 2008. "Risk Measurement Performance of Alternative Distribution Functions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 411-437.
    4. Marie-Anne Cam, 2008. "The Impact Of Terrorism On United States Industries," Economic Papers, The Economic Society of Australia, vol. 27(2), pages 115-134, June.
    5. Cable, John & Holland, Kevin, 2000. "Robust vs. OLS estimation of the market model: implications for event studies," Economics Letters, Elsevier, vol. 69(3), pages 385-391, December.
    6. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    7. Ramiah, Vikash & Cam, Marie-Anne & Calabro, Michael & Maher, David & Ghafouri, Shahab, 2010. "Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 64-76, January.
    8. Corrado, Charles J. & Zivney, Terry L., 1992. "The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 465-478, September.
    9. repec:bla:joares:v:6:y:1968:i:2:p:159-178 is not listed on IDEAS
    10. Bali, Turan G. & Mo, Hengyong & Tang, Yi, 2008. "The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 269-282, February.
    11. Campbell, Cynthia J. & Wesley, Charles E., 1993. "Measuring security price performance using daily NASDAQ returns," Journal of Financial Economics, Elsevier, vol. 33(1), pages 73-92, February.
    12. Hamill, Philip A. & Opong, Kwaku K. & McGregor, Pat, 2002. "Equity option listing in the UK: a comparison of market-based research methodologies," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 91-108, January.
    13. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    14. David Chappell & Robert Eldridge, 2000. "Evidence of market inefficiency in a war environment," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 489-492.
    15. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    16. Binder, John J, 1998. "The Event Study Methodology since 1969," Review of Quantitative Finance and Accounting, Springer, vol. 11(2), pages 111-137, September.
    17. 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.
    18. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    19. Bali, Turan G., 2000. "Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(02), pages 191-215, June.
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