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Conditional heteroskedasticity adjusted market model and an event study

Citations

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Cited by:

  1. Mónica Melle, 2005. "¿Cómo valora el mercado de valores español la adopción de planes de opciones sobre acciones para directivos y consejeros?," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 73-115, January.
  2. Xiong, Tao & Zhang, Wendong & Chen, Chen-Ti, 2021. "A Fortune from misfortune: Evidence from hog firms’ stock price responses to China’s African Swine Fever outbreaks," Food Policy, Elsevier, vol. 105(C).
  3. Chun-Da Chen & Chih-Chun Chen, 2012. "Assessing the Effects of Sports Marketing on Stock Returns," Journal of Sports Economics, , vol. 13(2), pages 169-197, April.
  4. Carroll, Carolyn & Griffith, John M., 2010. "Toeholds, rejected offers, and bidder gains: Do rebuffed bidders put targets in play to profit from their toeholds?," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 214-221, May.
  5. Hollander, Hilke & Prokop, Jörg, 2015. "Stock price effects of asset securitization: The case of liquidity facility providers," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 147-160.
  6. Khelifa Mazouz & Abdulkadir Mohamed & Brahim Saadouni, 2019. "Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index," Journal of Business Ethics, Springer, vol. 154(3), pages 683-699, February.
  7. Justice Kyei-Mensah, 2019. "Mergers and Acquisitions and Multinational Companies: A Review and Research Agenda," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(10), pages 17-31, October.
  8. Kanungo, Rama Prasad, 2021. "Uncertainty of M&As under asymmetric estimation," Journal of Business Research, Elsevier, vol. 122(C), pages 774-793.
  9. Koutmos, Gregory & Knif, Johan, 2002. "Time variation and asymmetry in systematic risk: evidence from the Finnish stock exchange," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 261-271, July.
  10. Brada, Josef C. & Chen, Chunda & Jia, Jingyi & Kutan, Ali M., 2020. "Does bilateral investment treaty arbitration have any value for multinational corporations?," BOFIT Discussion Papers 10/2020, Bank of Finland, Institute for Economies in Transition.
  11. Sofia Kalatha & Panagiotis Dontis-Charitos & Kyriaki Kosmidou & Kostas Andriosopoulos, 2025. "The market reaction to operational risk events in the energy sector," Annals of Operations Research, Springer, vol. 347(1), pages 611-631, April.
  12. Saeed Akbar & Syed Zulfiqar Ali Shah & Issedeeq Saadi, 2008. "Stock market reaction to capital expenditure announcements by UK firms," Applied Financial Economics, Taylor & Francis Journals, vol. 18(8), pages 617-627.
  13. Mukanjari, Samson & Sterner, Thomas, 2018. "Do Markets Trump Politics? Evidence from Fossil Market Reactions to the Paris Agreement and the U.S. Election," Working Papers in Economics 728, University of Gothenburg, Department of Economics.
  14. Del Brio, Esther B. & Miguel, Alberto & Perote, Javier, 2002. "An investigation of insider trading profits in the Spanish stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 73-94.
  15. Manjunath Padigar & Ljubomir Pupovac & Ashish Sinha & Rajendra Srivastava, 2022. "The effect of marketing department power on investor responses to announcements of AI-embedded new product innovations," Journal of the Academy of Marketing Science, Springer, vol. 50(6), pages 1277-1298, November.
  16. Khelifa Mazouz & Brahim Saadouni, 2007. "The price effects of FTSE 100 index revision: what drives the long-term abnormal return reversal?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(6), pages 501-510.
  17. Brada, Josef C. & Chen, Chunda & Jia, Jingyi & Kutan, Ali M. & Perez, M. Fabricio, 2022. "Value creation and value destruction in investor-state dispute arbitration," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
  18. Deák, Zsuzsanna & Karali, Berna, 2014. "Stock Market Reactions to Environmental News in the Food Industry," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 46(2), pages 209-225, May.
  19. Grammatikos, Theoharry & Lehnert, Thorsten & Otsubo, Yoichi, 2015. "Market perceptions of US and European policy actions around the subprime crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 99-113.
  20. Reyes, Mario G., 1999. "Size, time-varying beta, and conditional heteroscedasticity in UK stock returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 1-10, June.
  21. Kryzanowski, Lawrence & Lazrak, Skander & Rakita, Ian, 2010. "Behavior of liquidity and returns around Canadian seasoned equity offerings," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2954-2967, December.
  22. Roman Mestre, 2019. "Time-Frequency Multi-Betas Model-An Application with Gold and Oil -," Cahiers de recherche 19-05, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
  23. Elshahat, A. & Parhizgari, Ali & Hong, Liang, 2012. "The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions," Journal of Economics and Business, Elsevier, vol. 64(1), pages 90-104.
  24. Hahn, TeWhan & Reyes, Mario G., 2004. "On the estimation of stock-market reaction to corporate layoff announcements," Review of Financial Economics, Elsevier, vol. 13(4), pages 357-370.
  25. Mazouz, Khelifa & Saadouni, Bharim, 2007. "New evidence on the price and liquidity effects of the FTSE 100 index revisions," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 223-241.
  26. Sebastian Eisenbach & Dirk Schiereck & Julian Trillig & Paschen von Flotow, 2014. "Sustainable Project Finance, the Adoption of the Equator Principles and Shareholder Value Effects," Business Strategy and the Environment, Wiley Blackwell, vol. 23(6), pages 375-394, September.
  27. Fatima Syed & Naimat U. Khan, 2017. "Islamic Calendar Anomalies: Evidence from Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 104-122, September.
  28. Kalotychou, Elena & Staikouras, Sotiris K. & Zagonov, Maxim, 2009. "The UK equity market around the ex-split date," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 534-549, July.
  29. Rosella Castellano & Rita D’Ecclesia, 2013. "CDS volatility: the key signal of credit quality," Annals of Operations Research, Springer, vol. 205(1), pages 89-107, May.
  30. Lee, Hyunchul & Cho, Euije & Cheong, Chongcheul & Kim, Jinsu, 2013. "Do strategic alliances in a developing country create firm value? Evidence from Korean firms," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 30-41.
  31. Zeidan, Rodrigo & Müllner, Jakob, 2015. "Firm, market and top management antecedents of speculation: Lessons for corporate governance," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 42-58.
  32. Donald Lien & Chun-Da Chen, 2020. "B-share discount puzzle in China: a revisit of dual-share firms," Review of Managerial Science, Springer, vol. 14(5), pages 1047-1075, October.
  33. Mazouz, Khelifa & Wang, Jian, 2014. "Are commodity futures markets short-term efficient? An empirical investigation," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France 169763, Agricultural Economics Society.
  34. Sun, Changyou & Rahman, Mohammad M. & Munn, Ian A., 2013. "Adjustment of stock prices and volatility to changes in industrial timberland ownership," Forest Policy and Economics, Elsevier, vol. 26(C), pages 91-101.
  35. Wijayana, Singgih & Gray, Sidney J., 2018. "Capital market consequences of cultural influences on earnings: The case of cross-listed firms in the U.S. stock market," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 134-147.
  36. Yoo, Kyungjin & Lee, Youah & Heo, Eunnyeong, 2013. "Economic effects by merger and acquisition types in the renewable energy sector: An event study approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 26(C), pages 694-701.
  37. Samson Mukanjari & Thomas Sterner, 2024. "Do markets Trump politics? Fossil and renewable market reactions to major political events," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 805-836, April.
  38. Lee, Hyunchul & Kim, Dukyong & Seo, Minkyo, 2013. "Market valuation of marketing alliances in East Asia: Korean evidence," Journal of Business Research, Elsevier, vol. 66(12), pages 2492-2499.
  39. Esther B. Del Brio & Javier Perote & Julio Pindado, 2003. "Measuring the Impact of Corporate Investment Announcements on Share Prices: The Spanish Experience," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 715-747, June.
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