We analyze the empirical power and specification of test statistics designed to detect abnormal bond returns in corporate event studies, using monthly and daily data. We find that test statistics based on frequently used methods of calculating abnormal monthly bond returns are biased. Most...

Acquisition announcement returns are widely considered market-based assessments of value creation. Unfortunately, the data do not support this conjecture. We show that commonly used and new measures of realized acquisition outcomes are correlated among themselves, though derived from different...

We examine a sample of 8,313 cases, between 1951 and 2001, where firms unexpectedly increase their research and development expenditures (Ramp;D) by a significant amount. We find consistent evidence of a mis-reaction, as manifested in the significantly positive abnormal stock returns that our...