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Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Persistent link: https://www.econbiz.de/10013168738

Asset pricing in a monetary economy with heterogeneous beliefs

Croitoru, Benjamin; Lu, Lei - In: Management science : journal of the Institute for … 61 (2015) 9, pp. 2203-2219

Persistent link: https://www.econbiz.de/10011372432

Long-term strategic asset allocation : an out-of-sample evaluation

Diris, Bart; Palm, Franz C.; Schotman, Peter C. - In: Management science : journal of the Institute for … 61 (2015) 9, pp. 2185-2202

Persistent link: https://www.econbiz.de/10011372433

Management earnings forecasts and value of analyst forecast revisions

Kim, Yongtae; Song, Minsup - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1663-1683

Persistent link: https://www.econbiz.de/10011304107

Control of dividends, capital subscriptions, and physical inventories

Li, Lode; Shubik, Martin; Sobel, Matthew J. - In: Management science : journal of the Institute for … 59 (2013) 5, pp. 1107-1124

Persistent link: https://www.econbiz.de/10009751191

How do firm financial conditions affect product quality and pricing?

Phillips, Gordon M.; Sertsios, Giorgo - In: Management science : journal of the Institute for … 59 (2013) 8, pp. 1764-1782

Persistent link: https://www.econbiz.de/10009788987

Investor flows and the 2008 boom/bust in oil prices

Singleton, Kenneth J. - In: Management science : journal of the Institute for … 60 (2014) 2, pp. 300-318

Persistent link: https://www.econbiz.de/10010258816

Corporate risk management : integrating liquidity, hedging, and operating policies

Gamba, Andrea; Triantis, Alexander J. - In: Management science : journal of the Institute for … 60 (2014) 1, pp. 246-264

Persistent link: https://www.econbiz.de/10010345150

Do individuals have preferences used in macro-finance models? : an experimental investigation

Brown, Alexander L.; Kim, Hwagyun - In: Management science : journal of the Institute for … 60 (2014) 4, pp. 939-958

Persistent link: https://www.econbiz.de/10010347808

Do private equity returns result from wealth transfers and short-termism? : evidence from a comprehensive sample of large buyouts

Harford, Jarrad V. T.; Kolasinski, Adam - In: Management science : journal of the Institute for … 60 (2014) 4, pp. 888-902

Persistent link: https://www.econbiz.de/10010347831