We describe the fundamental issues that long-horizon event studies face in choosing the proper research methodology, and summarize findings from existing simulation studies about the performance of commonly used methods. We document in detail how to implement a simulation study and report...

We construct the five factors in Fama and French (FF, 2015) and the four factors in Hou, Xue, and Zhang (HXZ, 2015) for the Chinese stock market. Our objective is to identify a parsimonious factor model that builds on these factors and provides an adequate explanation for time-series and...

This paper shows that the cross-sectional and time series momentum in currencies, which cannot be explained by carry and dollar factors, summarize the autocorrelation of these factors. These momentum strategies long currency factors following positive factor returns and short them following...