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Is there a viable alternative to ordinary least squares regression when security abnormal returns are the dependent variable?

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  • Imre Karafiath

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  • Imre Karafiath, 2009. "Is there a viable alternative to ordinary least squares regression when security abnormal returns are the dependent variable?," Review of Quantitative Finance and Accounting, Springer, vol. 32(1), pages 17-31, January.
    • Handle: RePEc:kap:rqfnac:v:32:y:2009:i:1:p:17-31
    DOI: 10.1007/s11156-007-0079-y
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    References listed on IDEAS

    as
    1. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    2. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
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    Cited by:

    1. Aigbe Akhigbe & Jeff Madura & Anna Martin, 2015. "Intra-industry effects of negative stock price surprises," Review of Quantitative Finance and Accounting, Springer, vol. 45(3), pages 541-559, October.
    2. Dee, Carol Callaway & Hillison, William & Pacini, Carl, 2010. "No news is bad news: Market reaction to reasons given for late filing of Form 10-K," Research in Accounting Regulation, Elsevier, vol. 22(2), pages 121-127.

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    More about this item

    Keywords

    Event studies; Regression; Abnormal returns; G14;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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