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Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares

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  1. Brewer, Elijah III & Genay, Hesna & Hunter, William Curt & Kaufman, George G., 2003. "The value of banking relationships during a financial crisis: Evidence from failures of Japanese banks," Journal of the Japanese and International Economies, Elsevier, vol. 17(3), pages 233-262, September.
  2. Sepúlveda Velásquez, Jorge & Tapia Griñen, Pablo & Pastén Henríquez, Boris, 2021. "Analyzing stock market signals for H1N1 and COVID-19: The BRIC case," MPRA Paper 108764, University Library of Munich, Germany.
  3. Dewenter, Kathryn L. & Han, Xi & Malatesta, Paul H., 2010. "Firm values and sovereign wealth fund investments," Journal of Financial Economics, Elsevier, vol. 98(2), pages 256-278, November.
  4. Karpoff, Jonathan M. & Malatesta, Paul H., 1995. "State takeover legislation and share values: The wealth effects of Pennsylvania's Act 36," Journal of Corporate Finance, Elsevier, vol. 1(3-4), pages 367-382, April.
  5. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 45(3), pages 365-390, September.
  6. Ralf Schremper, 2003. "Kapitalmarktrelevanz deutscher Aktienrückkaufprogramme," Schmalenbach Journal of Business Research, Springer, vol. 55(6), pages 578-605, September.
  7. Cyree, Ken B & DeGennaro, Ramon P, 2002. "A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk," Review of Quantitative Finance and Accounting, Springer, vol. 19(4), pages 399-416, December.
  8. Carter, David & Mazumder, Sharif & Simkins, Betty & Sisneros, Eric, 2022. "The stock price reaction of the COVID-19 pandemic on the airline, hotel, and tourism industries," Finance Research Letters, Elsevier, vol. 44(C).
  9. Mosebach, Michael, 1999. "Market response to banks granting lines of credit," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1707-1723, November.
  10. Carter, David A. & Simkins, Betty J., 2004. "The market's reaction to unexpected, catastrophic events: the case of airline stock returns and the September 11th attacks," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 539-558, September.
  11. Tapia, Pablo & Pastén, Boris & Sepulveda Velasquez, Jorge, 2022. "Earthquakes in Chile-Peru and the price of copper," MPRA Paper 113078, University Library of Munich, Germany.
  12. Roger M. Shelor & Dwight C. Anderson & Mark L. Cross, 1990. "The Impact of the California Earthquake on Real Estate Firms' Stock Value," Journal of Real Estate Research, American Real Estate Society, vol. 5(3), pages 335-340.
  13. K. Chau & S. Wong & C. Yiu & Maurice Tse & Frederik Pretorius, 2010. "Do Unexpected Land Auction Outcomes Bring New Information to the Real Estate Market?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 480-496, May.
  14. Sebastian Dickgiesser & Christoph Kaserer, 2010. "Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information," German Economic Review, Verein für Socialpolitik, vol. 11, pages 302-335, August.
  15. Sebastian Dickgiesser & Christoph Kaserer, 2010. "Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information," German Economic Review, Verein für Socialpolitik, vol. 11(3), pages 302-335, August.
  16. Tapia, Pablo & Pastén, Boris & Sepulveda Velasquez, Jorge, 2022. "Performance of the Chinese energy market in times of Russian military interventions," MPRA Paper 112747, University Library of Munich, Germany.
  17. da Graça, Tarcisio B., 2010. "Improving the statistical power of financial event studies: The inverse variance weighted average-based test," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 803-817, September.
  18. Daniel Celeny & Loic Mar'echal & Evgueni Rousselot & Alain Mermoud & Mathias Humbert, 2024. "Prioritizing Investments in Cybersecurity: Empirical Evidence from an Event Study on the Determinants of Cyberattack Costs," Papers 2402.04773, arXiv.org.
  19. Dewenter, Kathryn L. & Riddick, Leigh A., 2018. "What's the value of a TBTF guaranty? Evidence from the G-SII designation for insurance companies✰," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 70-85.
  20. Tarcisio da Graca & Robert Masson, 2012. "More power to you: properties of a more powerful event study methodology," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 11(2), pages 166-183, May.
  21. İsmail Aktar, 2005. "A Comparison of the Effects of the Chernobyl and Three Mile Island Nuclear Accidents on the U.S. Electric Utility Industry," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2005-2.
  22. Elijah Brewer & Ann Marie Klingenhagen, 2010. "Be careful what you wish for: the stock market reactions to bailing out large financial institutions," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 18(1), pages 56-69, February.
  23. Gu, Lulu & Reed, W. Robert, 2013. "Information asymmetry, market segmentation, and cross-listing: Implications for event study methodology," Journal of Asian Economics, Elsevier, vol. 28(C), pages 28-40.
  24. Walter Teets & Robert P. Parks, 1993. "A Simulation Investigation of Firm-Specific Equation Models as Used in Accounting Information Event Studies," Econometrics 9307001, University Library of Munich, Germany.
  25. Elijah Brewer & Hesna Genay & William C. Hunter & George G. Kaufman, 1999. "Does the Japanese stock market price bank risk? evidence from financial firm failures," Working Paper Series WP-99-31, Federal Reserve Bank of Chicago.
  26. David A. Carter & Daniel A. Rogers & Betty J. Simkins & Stephen D. Treanor, 2013. "Does hedging reduce economic exposure? Hurricanes, jet fuel prices and airlines," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 14, pages 341-354, Edward Elgar Publishing.
  27. Elijah Brewer & William Jackson, 2000. "Requiem for a Market Maker: The Case of Drexel Burnham Lambert and Junk Bonds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(3), pages 209-235, September.
  28. Marcus A. Ingram & Virginia C. Ingram, 1993. "Consistent Estimation Of Residual Variance In Regulatory Event Studies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(2), pages 151-160, June.
  29. Yadav, Pradeep K., 1992. "Event studies based on volatility of returns and trading volume: A review," The British Accounting Review, Elsevier, vol. 24(2), pages 157-184.
  30. Elijah Brewer & Hesna Genay & George G. Kaufman, 2003. "Banking relationships during financial distress: the evidence from Japan," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 27(Q III), pages 2-18.
  31. Velásquez, Jorge Sepúlveda & Griñen, Pablo Tapia & Henríquez, Boris Pastén, 2022. "Emerging market dynamics in H1N1 and COVID-19 pandemics," Economics Letters, Elsevier, vol. 218(C).
  32. Doan, Minh Phuong & Sercu, Piet, 2021. "Modelling multiperiod patterns in stock-market reactions to events, with an application to serial acquisitions," International Review of Financial Analysis, Elsevier, vol. 77(C).
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