Mazouz, Khelifa; Joseph, Nathan L.; Joulmer, Joulmer - In: Journal of Banking & Finance 33 (2009) 8, pp. 1481-1493
We examine the short-term price reaction of 424 UK stocks to large one-day price changes. Using the GJR-GARCH(1,1), we find no statistical difference amongst the cumulative abnormal returns (CARs) of the Single Index, the Fama-French and the Carhart-Fama-French models. Shocks [greater-or-equal,...
