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We document that long-run market-adjusted cumulative abnormal returns generally yield positively biased test statistics, while long-run market-adjusted buy-and-hold abnormal returns generally yield negatively biased test statistics. However, these general results are sensitive to (1) the period...
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Fama and French (1992) document a significant relation between firm size, book-to-market ratios, and security returns for nonfinancial firms. Because of their initial interest in leverage as an explanatory variable for security returns, Fama and French exclude from their analysis financial...
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Many recent studies have analyzed the impact that corporate events or managerial decisions have on operating performance. In these studies, researchers face many methodological choices. This paper analyzes the effect that three dimensions of choice have on the specification and power of...
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We analyze the empirical power and specification of test- statistics in event studies designed to detect long-run (one to five-year) abnormal stock returns. We consider (1) the calculation of long-run abnormal returns by comparing summed monthly abnormal returns (cumulative abnormal returns) to...
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