Baker, Malcolm; Litov, Lubomir; Wachter, Jessica; … - 2004
Jerold B. Warner, 1985, Using daily stock returns: The case of
event studies, Journal of Financial Economics 14, 3 …-hypothesis problem with long-horizon studies of fund
performance. Consistent with skilled trading, we find that, on average, stocks that … persistence in our event return-based metrics, and those that
do well tend to have a growth objective, large size, high turnover …