Caveat Compounder: A Warning about Using the Daily CRSP Equal-Weighted Index to Compute Long-Run Excess Returns
Author:
Affiliation:
1. Cornell
2. University of Chicago and NBER
3. Dartmouth
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Reference13 articles.
1. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics;Barber;Journal of Financial Economics,1996
2. Post-earnings-announcement drift: Delayed price response or risk premium?;Bernard;Journal of Accounting Research,1989
3. Biases in computed returns: An application to the size effect;Blume;Journal of Financial Economics,1983
4. Long-term market reaction or biases in computed returns?;Conrad;Journal of Finance,1993
5. Does the stock market overreact?;DeBondt;Journal of Finance,1985
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