Modelling Normal Returns in Event Studies: A Model-Selection Approach and Pilot Study
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|Date of creation:||Nov 1996|
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- J. Andrew Coutts & Terence Mills & Jennifer Roberts, 1995. "Misspecification of the market model: the implications for event studies," Applied Economics Letters, Taylor & Francis Journals, vol. 2(5), pages 163-165.
- Jagannathan, Ravi & Wang, Zhenyu, 1996.
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American Finance Association, vol. 51(1), pages 3-53, March.
- Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
- James G. MacKinnon, 2010.
"Critical Values for Cointegration Tests,"
1227, Queen's University, Department of Economics.
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