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Parametric and nonparametric event study tests : a review
(Canadian Center of Science and Education (CCSE), 2014-11-25)
This paper presents a modest attempt to review the existing methodologies for measuring short-run abnormal performance of firms following certain corporate events. In doing so, the study discusses different parametric as ...
Investigating long-run stock returns after corporate events : the UK evidence
(Virtus Interpress, 2014)
The objective of this paper is to assess the robustness of the existing long-run event study methodologies in the UK stock market. In doing so, the study employs the buy-and-hold abnormal return approach and the calendar ...
Does calendar time portfolio approach really lack power?
(Canadian Center of Science and Education (CCSE), 2014-08-22)
This paper investigates whether the calendar time methodology lacks power in detecting the long-run abnormalperformance of the firms after major corporate events. In addition, the study proposes a variant of calendar ...
Have the anomalies following share buybacks disappeared?
(Taylor & Francis, 2015-12-10)
Although several empirical studies report significant positive long-run abnormal stock returns following share buybacks, a recent event study paper claims that such anomalies have disappeared in the most recent decade and ...
Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes
This paper analyzes the cross-quantile dependence and causality between non-ferrous metals and clean energy indices by employing data from November 2003 to May 2019. Specifically, we utilize the time-varying copulas to ...
Does Corn Market Uncertainty Impact the US Ethanol Prices?
(Wiley Open Access, 2018-05-23)
The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol ...
Pricing of IPOs : further evidence from South Africa
(Virtus Interpress, 2015)
We examine the long-term performance of 225 IPOs listed on the Johannesburg Securities Index (JSE) during the period from 1996 to 2006. The buy-and-hold abnormal return (BHAR) method and the calendar time portfolio (CTP) ...
Do green investments react to oil price shocks? Implications for sustainable development
This study investigates whether green investments are connected to oil price shocks. While earlier papers mainly investigate the linkage between clean energy stock and crude oil prices, we consider recently introduced ...
Forecasting the volatility of biofuel feedstock prices : the US evidence
Given that, nowadays, 40% of the US corn crop is used for biofuel production, there is a growing concern that the rise in biofuel production might lead to an increase in food prices. However, it is also obvious that ...