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Modelling Normal Returns in Event Studies: A Model-Selection Approach and Pilot Study

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  • CABLE, J
  • HOLLAND, K

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  • Cable, J & Holland, K, 1996. "Modelling Normal Returns in Event Studies: A Model-Selection Approach and Pilot Study," Working Papers 96-13, University of Wales, Aberystwyth, Department of Economics.
    • Handle: RePEc:wuk:waecwp:96-13
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    References listed on IDEAS

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    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    3. Jagannathan, Ravi & Wang, Zhenyu, 1996. "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    4. Patell, Jm, 1976. "Corporate Forecasts Of Earnings Per Share And Stock-Price Behavior - Empirical Tests," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 14(2), pages 246-276.
    5. Chandra, R & Moriarity, S & Willinger, Gl, 1990. "A Reexamination Of The Power Of Alternative Return-Generating Models And The Effect Of Accounting For Cross-Sectional Dependencies In Event Studies," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 28(2), pages 398-408.
    6. Kim, Dongcheol, 1995. "The Errors in the Variables Problem in the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 50(5), pages 1605-1634, December.
    7. Ramesh Chandra & Bala V. Balachandran, 1990. "A synthesis of alternative testing procedures for event studies," Contemporary Accounting Research, John Wiley & Sons, vol. 6(2), pages 611-640, March.
    8. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
    9. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    10. MacKinnon, James G., 2010. "Critical Values for Cointegration Tests," Queen's Economics Department Working Papers 273723, Queen's University - Department of Economics.
    11. 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.
    12. Bing Xiang, 1993. "The Choice of Return†Generating Models and Cross†Sectional Dependence in Event Studies," Contemporary Accounting Research, John Wiley & Sons, vol. 9(2), pages 365-394, March.
    13. Robert Engle & Clive Granger, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    14. Collins, Dw & Dent, Wt, 1984. "A Comparison Of Alternative Testing Methodologies Used In Capital-Market Research," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 22(1), pages 48-84.
    15. Morse, D, 1984. "An Econometric-Analysis Of The Choice Of Daily Versus Monthly Returns In Tests Of Information-Content," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 22(2), pages 605-623.
    16. 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.
    17. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    18. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
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    Cited by:

    1. Edirisinghe U. C & Nimal P.D, 2015. "Stock Price Reaction to Announcements of Right Issues and Debenture Issues: Evidence from Colombo Stock Exchange," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 5(2), pages 67-76, February.
    2. Cable, John & Holland, Kevin, 1999. "Regression vs. non-regression models of normal returns: implications for event studies," Economics Letters, Elsevier, vol. 64(1), pages 81-85, July.
    3. Ranjeeni, Kumari, 2014. "Sectoral and industrial performance during a stock market crisis," Economic Systems, Elsevier, vol. 38(2), pages 178-193.
    4. Edirisinghe U. C & Nimal P.D, 2015. "Stock Price Reaction to Announcements of Right Issues and Debenture Issues: Evidence from Colombo Stock Exchange," International Journal of Business and Social Research, LAR Center Press, vol. 5(2), pages 67-76, February.

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