Event studies typically use the methodology developed by Fama et al. [1969. The adjustment of stock prices to new information. International Economic Review 10, no. 1: 1-21] to segregate a stock's return into expected and unexpected components. Moreover, conventional practice assumes that...

The instantaneous return on the Financial Times-Stock Exchange (FTSE) All Share Index is viewed as a frictionless particle moving in a one-dimensional square well but where there is a non-trivial probability of the particle tunneling into the well’s retaining walls. Our analysis demonstrates...