Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this paper, we show that a recently introduced calendar time...

This paper proposes a powerful alternative to the t-test in linear regressions when a regressor is mismeasured. We assume there is a second contaminated measurement of the regressor of interest. We allow the two measurement errors to be nonclassical in the sense that they may both be correlated...

Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this paper, we show that a recently introduced calendar time...

Univariate normality tests are typically classified into tests based on empirical distribution, moments, regression and correlation, and other. In this paper, power comparisons of nine normality tests based on measures of moments via the Monte Carlo simulations is extensively examined. The...

This paper proposes a powerful alternative to the t-test in linear regressions when a regressor is mismeasured. We assume there is a second contaminated measurement of the regressor of interest. We allow the two measurement errors to be nonclassical in the sense that they may both be correlated...