New methodology for event studies in Bonds
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References listed on IDEAS
- Hendrik Bessembinder & Kathleen M. Kahle & William F. Maxwell & Danielle Xu, 2009. "Measuring Abnormal Bond Performance," Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4219-4258, October.
- Heinkel, Robert & Kraus, Alan, 1988. "Measuring Event Impacts in Thinly Traded Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(01), pages 71-88, March.
- Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, vol. 43(3), pages 341-372, March.
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More about this item
KeywordsEvent Study; Bonds; TRACE; ANOVA;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G3 - Financial Economics - - Corporate Finance and Governance
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-ECM-2010-11-20 (Econometrics)
- NEP-FMK-2010-11-20 (Financial Markets)
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