We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified

-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique.

Empirical evidence from U.S. from the years of 2000 – 2002

We find increasingly large variations in returns from momentum strategies in recent years. Momentum strategies did not earn significant excess returns during the period of 1993-2004 which was due to their poor performance over the period from 2001-2004. Using subsamples of smaller capitalization

The enforcement of the ban on insider trading requires an evaluation of the disgorgement, i.e. the capital gain of the insider trader who takes advantage of the exploitation of preferential information. An initial step forward on this topic has been taken by the SEC, the United States Securities and Exchange Commission, which has developed a quantitative procedure based on the event-study methodology. This paper develops an adaptation of this procedure for the Italian market and explains the limits of these methodologies in the analysis of the insider-trading phenomenon. In particular,

This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual

valued by CEOs and boards. In our empirical section, we use abnormal returns at the time of the acquisition to measure the extent of under-pricing. Absent regulation, IO chains did not earn abnormal returns from their acquisitions of NPs and benefited more by transacting with other IO and privately

We analyze tests for long-run abnormal returns and document that two approaches yield well-specified test statistics in random samples. The first uses a traditional event study framework and buy-and-hold abnormal returns calculated using carefully constructed reference portfolios. Inference

not necessarily reflect the position of The Abnormal Returns of UK Privatisations: From Underpricing to Outperformance Summary This paper offers a review and discussion of the evidence concerning the underpricing and long run performance of British PIPOs (Privatisation Initial Public Offerings) between 1977

bound. The difference of the estimated true shorting demand and the realized shorting demand is our proxy for short-selling constraints. By using this new proxy, we find the short-selling constraints explain the momentum abnormal returns from the loser portfolio strongly and independently. Stocks which