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Event studies and systems methods : some additional evidence

McDonald, Bill - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 4, pp. 495-504

Persistent link: https://www.econbiz.de/10001043892

What's different among banks ?

Cosimano, Thomas F. - In: Journal of monetary economics 41 (1998) 1, pp. 57-70

Persistent link: https://www.econbiz.de/10001235400

An analysis of nonlinearities, heteroscedasticity, and functional form in the market model

McDonald, Bill - In: Journal of business & economic statistics : JBES ; a … 6 (1988) 4, pp. 505-509

Persistent link: https://www.econbiz.de/10001064987

Nonnormalities and tests of asset pricing theories

Affleck-Graves, John F. - In: The journal of finance : the journal of the American … 44 (1989) 4, pp. 889-908

Persistent link: https://www.econbiz.de/10001072859

Multivariate tests of asset pricing : the comparative power of alternative statistics

Affleck-Graves, John F. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 2, pp. 163-185

Persistent link: https://www.econbiz.de/10001089822

Deviations from time priority on the NYSE

Battalio, Robert H.; Jennings, Robert H.; McDonald, Bill - In: Journal of financial markets 53 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013271961

Reconsidering Equity Issue Performance : A Focused Criticism of the Fama-French Factor Models

Loughran, Tim - 2021

The Fama and French (2015) 5-factor model is commonly used to measure the performance of stock return portfolios. Importantly, we find that three of the Fama and French (2015) firm-level characteristics (i.e., size, BV/MV, and profitability) have no significant explanatory power in the...

Persistent link: https://www.econbiz.de/10013213375