Dynamic risk adjustment in long-run event study tests-Reference-Cited by-同舟云学术

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Dynamic risk adjustment in long-run event study tests

Published:2023-11-28 Issue:6 Volume:56 Page:744-764
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Han Yao¹^ORCID,Kolari James W.²,Pynnonen Seppo³

Affiliation:

1. School of Finance, Jiangxi University of Finance and Economics, Nanchang, JX, China

2. JP Morgan Chase Professor of Finance, Texas A&M University, College Station, TX, USA

3. Department of Mathematics and Statistics, University of Vaasa, Vaasa, Finland

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2023.2287554

Reference38 articles.

1. Realized Beta: Persistence and Predictability

2. A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

3. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics

4. The Price Effect of Stock Repurchases: Evidence from Dual Class Firms

5. Characteristic-Based Benchmark Returns and Corporate Events

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