Ford, George; Jackson, John; Skinner, Sarah - In: Applied Economics Letters 17 (2010) 12, pp. 1153-1156
In support of Fomby and Murfin's (2005) article published in this journal, we demonstrate empirically, rather than theoretically, the severe consequences of using Heteroscedasticity and Autocorrelation Consistent (HAC) SEs in regression-based financial event studies. Applying an event study to a...