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Abstract: Several papers have identified the hazards associated with event-induced variance, yet event studies continue to ignore the problem. This study demonstrates that the most commonly used abnormal return detection methods reject the null hypothesis of zero abnormal returns too often. This causes researchers to conclude the detection of abnormal performance when none is present. Two easy to employ alternative methods are proposed that are relatively unaffected by event-induced variance.... (Update)
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BibTeX entry: (Update)
@misc{ seiler-efficacy,
author = "Michael J. Seiler",
title = "The Efficacy Of Event-Study Methodologies: Measuring Ereit Abnormal Performance
Under Conditions Of Induced Variance",
url = "citeseer.ist.psu.edu/seiler00efficacy.html" }
Citations (may not include all citations):14 Capital Market Equilibrium With Restricted Borrowing (context) - Black - 1972
13 Estimating Beta From Nonsynchronous Data (context) - Scholes - 1977
10 Risk, Return And Equilibrium: Empirical Tests (context) - Fama - 1973
10 Using Daily Stock Returns: The Case of Event Studies (context) - Brown - 1985
10 The Information Content of Annual Earnings Announcements, Em.. (context) - Beaver - 1968
9 Risk Measurement When Shares Are Subject To Infrequent Tradi.. (context) - Dimson - 1979
8 The Adjustment Of Stock Prices To New Information (context) - Fama, Fisher et al. - 1969
8 Corporate Forecasts Of Earnings Per Share And Stock Price Be.. (context) - Patell - 1976
7 Measuring Security Price Performance (context) - Brown - 1980
7 Event-Study Methodology Under Conditions of Event-Induced Va.. (context) - Boehmer, Musumeci et al. - 1991
6 An Empirical Evaluation of Accounting Income Numbers (context) - Ball - 1968
4 The Performance of Real Estate as an Asset Class (context) - Goetzmann - 1990
4 Common Stock Repurchases: An Analysis Of Returns To Bondhold.. (context) - Dann - 1981
3 Real Estate Returns: A Comparison With Other Investments (context) - Ibbotson - 1984
3 Dividend Information, Stock Returns, and Market Efficiency -.. (context) - Charest - 1978
[Article contains additional citations not shown here]
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