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The market model and the event study method: A synthesis of the econometric criticisms

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  • Coutts, J. Andrew
  • Mills, Terence C.
  • Roberts, Jennifer

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  • Coutts, J. Andrew & Mills, Terence C. & Roberts, Jennifer, 1994. "The market model and the event study method: A synthesis of the econometric criticisms," International Review of Financial Analysis, Elsevier, vol. 3(2), pages 149-171.
    • Handle: RePEc:eee:finana:v:3:y:1994:i:2:p:149-171
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    Cited by:

    1. Turki Rashed Alshammari & Jean-Noël Ory, 2023. "The Impact of Religious Announcements on Stock Prices and Investment Decisions on the Saudi Stock Exchange," Post-Print hal-04105704, HAL.
    2. Onur Enginar & Kazim Baris Atici, 2022. "Optimal forecast error as an unbiased estimator of abnormal return: A proposition," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 158-166, January.
    3. Coutts, J. Andrew & Mills, Terence C. & Roberts, Jennifer, 1996. "The market model and the event study method: A rejoinder," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 83-86.
    4. Rumsey, John, 1996. "The market model and the event study method: A synthesis of econometric criticisms: Comment," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 79-81.
    5. David K. Ding & Angie Low, 2004. "The Designation and Removal of Trustee Stock Status: Wealth Effects," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3-4), pages 505-538.
    6. Brander, James A. & Egan, Edward J., 2017. "The winner’s curse in acquisitions of privately-held firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 249-262.
    7. Bartsch, Elga, 1997. "Economic consequences of the German environmental liability act: Capital market response for the chemical industry," Kiel Working Papers 822, Kiel Institute for the World Economy (IfW Kiel).
    8. David K. Ding & Angie Low, 2004. "The Designation and Removal of Trustee Stock Status: Wealth Effects," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 505-538, April.
    9. Sascha Wilkens & Jens Wimschulte, 2005. "Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 61-98, June.
    10. Hamill, Philip A. & Opong, Kwaku K. & McGregor, Pat, 2002. "Equity option listing in the UK: a comparison of market-based research methodologies," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 91-108, January.
    11. Wagner, Niklas, 2004. "Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns," Research in International Business and Finance, Elsevier, vol. 18(1), pages 59-72, April.
    12. Seyed Amir Hossein Sabet & Marie-Anne Cam & Richard Heaney, 2012. "Share market reaction to the BP oil spill and the US government moratorium on exploration," Australian Journal of Management, Australian School of Business, vol. 37(1), pages 61-76, April.
    13. Alberto Barroso Del Toro & Laura Vivas Crisol & Xavier Tort-Martorell, 2022. "The Sustainability Narrative: A Multi Study Using Event Studies to Analyse the American Energy Companies Shareholder’s Reaction to Sustainability News," IJERPH, MDPI, vol. 19(23), pages 1-17, November.
    14. Jan-Peer Laabs & Dirk Schiereck, 2010. "The long-term success of M&A in the automotive supply industry: determinants of capital market performance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(1), pages 61-88, January.

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