Interacting Biases, Non-Normal Return Distributions and the Performance of Parametric and Bootstrap Tests for Long-Horizon Event Studies

SSRN Electronic Journal ◽

10.2139/ssrn.315 ◽

1997 ◽

Author(s):

Arnold R. Cowan ◽

Anne M.A. Sergeant

Keyword(s):

Event Studies ◽

Bootstrap Tests ◽

Return Distributions

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Bootstrap Tests for Multivariate Event Studies

SSRN Electronic Journal ◽

10.2139/ssrn.144420 ◽

1999 ◽

Author(s):

Pin-Huang Chou

Keyword(s):

Event Studies ◽

Bootstrap Tests

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Interacting Biases, Non-Normal Return Distributions and the Performance of Tests for Long-Horizon Event Studies

SSRN Electronic Journal ◽

10.2139/ssrn.216244 ◽

2000 ◽

Author(s):

Arnold R. Cowan ◽

Anne M.A. Sergeant

Keyword(s):

Event Studies ◽

Return Distributions

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Interacting biases, non-normal return distributions and the performance of tests for long-horizon event studies

Journal of Banking & Finance ◽

10.1016/s0378-4266(00)00094-7 ◽

2001 ◽

Vol 25 (4) ◽

pp. 741-765 ◽

Author(s):

Arnold R. Cowan ◽

Anne M.A. Sergeant

Keyword(s):

Event Studies ◽

Return Distributions

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Bootstrap Tests for Multivariate Event Studies

Review of Quantitative Finance and Accounting ◽

10.1023/b:requ.0000042345.03125.6f ◽

2004 ◽

Vol 23 (3) ◽

pp. 275-290 ◽

Author(s):

Pin-Huang Chou

Keyword(s):

Event Studies ◽

Bootstrap Tests

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Expansion methods applied to asset return distributions

The Journal of Risk ◽

10.21314/jor.2007.167 ◽

2007 ◽

Vol 10 (2) ◽

pp. 3-24 ◽

Author(s):

Kohei Marumo ◽

Rodney Wolff

Keyword(s):

Asset Return ◽

Return Distributions

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Impact of Outliers on Stock Return Models: Implications for Event Studies and the Pricing of Risk

SSRN Electronic Journal ◽

10.2139/ssrn.1364158 ◽

2009 ◽

Author(s):

Alexandra K. Theodossiou ◽

Panayiotis Theodossiou

Keyword(s):

Stock Return ◽

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Estimating Flexible, Fat-Tailed Conditional Asset Return Distributions

SSRN Electronic Journal ◽

10.2139/ssrn.1735522 ◽

2012 ◽

Author(s):

Craig A. Friedman ◽

Yangyong Zhang ◽

Wenbo Cao

Keyword(s):

Asset Return ◽

Return Distributions

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Learning from Variation in Abnormal Returns in Litigation Event Studies: The Case of Trial Verdicts in Medical Products Mass Torts

SSRN Electronic Journal ◽

10.2139/ssrn.1879364 ◽

2011 ◽

Author(s):

Steven Garber ◽

Ying Liu

Keyword(s):

Abnormal Returns ◽

Event Studies ◽

Medical Products ◽

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Forecasting Value-at-Risk Using Time Varying Copulas and EVT Return Distributions

SSRN Electronic Journal ◽

10.2139/ssrn.2139452 ◽

2012 ◽

Author(s):

Theo Berger ◽

Martin Missong

Keyword(s):

At Risk ◽

Value At Risk ◽

Time Varying ◽

Return Distributions

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Anticipation and Returns in Event Studies

SSRN Electronic Journal ◽

10.2139/ssrn.2197562 ◽

2012 ◽

Author(s):

David Offenberg ◽

Micah S. Officer

Keyword(s):

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