We incorporate a data-dependent procedure for determining irregular events into standard event-study analysis to address the issue of uncertainty about event dates associated with a regulatory change. As an illustration, we apply this approach to the cigarette advertising ban, and compare these...

Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide usein empirical finance. Applications of such relations range from academic studies of market efficiency andmarket anomalies to practical uses such as risk management and estimation of the cost of...