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Nonnormalities and Tests of Asset Pricing Theories.

Affleck-Graves, John; McDonald, Bill - In: Journal of Finance 44 (1989) 4, pp. 889-908

The robustness of the multivariate tests of Michael R. Gibbons, Stephen A. Ross, and Jay Shanken (1986) to nonnormalities in the residual covariance matrix is examined. After considering the relative performance of various tests of normality, simulation techniques are used to determine the...

Persistent link: https://www.econbiz.de/10005214159

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

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

An empirical examination of the preference structure for the distribution of earnings

McDonald, Bill - In: Journal of economics & business 35 (1983) 3/4, pp. 441-451

Persistent link: https://www.econbiz.de/10003622302

The long-run performance of stock returns following debt offerings

Spiess, D. Katherine; Affleck-Graves, John - In: Journal of Financial Economics 54 (1999) 1, pp. 45-73

Persistent link: https://www.econbiz.de/10005376782

Trading Mechanisms and the Components of the Bid-Ask Spread

Affleck-Graves, John; Hegde, Shantaram P.; Miller, Robert E. - In: The journal of finance : the journal of the American … 49 (1994) 4, pp. 1471-1488

Persistent link: https://www.econbiz.de/10006600322

Under-performance in long-run stock returns following seasoned equity offerings

Spiess, D.Katherine; Affleck-Graves, John - In: Journal of financial economics 38 (1995) 3, pp. 243-268

Persistent link: https://www.econbiz.de/10006533814

The Information Content Of Calls Of Debt: Evidence From Long-Run Stock Returns

Affleck-Graves, John; Miller, Robert E. - In: The journal of financial research : a publ. of the … 26 (2003) 4, pp. 421-448

Persistent link: https://www.econbiz.de/10006820330

Earnings Predictability, Information Asymmetry, and Market Liquidity

Affleck-Graves, John; Callahan, Carolyn M.; … - In: Journal of accounting research 40 (2002) 3, pp. 561-584

Persistent link: https://www.econbiz.de/10006559719