A number of articles have documented that the classical event study methodology exhibits a bias toward detecting quot;effects,quot; irrespective of whether such effects actually exist. This paper addresses this bias by presenting a new methodology that explicitly incorporates stochastic...

A number of articles have documented that the classical event study methodology exhibits a bias toward detecting "effects", irrespective of whether such effects actually exist. This paper addresses this bias by presenting a new methodology that explicitly incorporates stochastic behaviors of the...

This paper shows that a flaw exists in the logic behind the previously stated theoretical connections between utility theory and moment preferences. In fact, no such relationship exists. There is also a flaw in the logic that postulates that approximate normality can justify moment (e.g.,...