Eckbo, B Espen; Maksimovic, Vojislav; Williams, Joseph - In: Review of Financial Studies 3 (1990) 3, pp. 343-65
Event studies often include cross-sectional regressions of announcement effects on exogenous variables. If the event is voluntary and investors are rational, then standard OLS and GLS estimators are inconsistent. Consistent ML estimators are constructed for a cross-sectional model of horizontal...
