An improved method for measuring and testing long-run returns is proposed. The method adjusts <p> for the right-skewed distribution of long-run buy-and-hold by decomposing average cross-sectional <p> buy-and-hold returns into mean components and volatility components. The method is <p> applied to initial...</p></p></p>

This paper investigates the short-run price adjustment around the acquisition announce-ment <p> and the long-run upward bias of the cross-sectional average buy-and-hold returns. <p> We apply the geometric Brownian motion model to decompose the cross-sectional ave r-age <p> long-run returns into mean...</p></p></p>

This paper investigates long-run returns by utilizing log-normal distribution properties <p> of cross-sectional buy-and-hold returns. We decompose expected cross-sectional buy-and- <p> hold returns into transformed mean components and volatility components. This <p> decomposition shows that the...</p></p></p>