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Improved calendar time approach for measuring long-run anomalies
(2015-08)
- article
Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to ...
Investigating long-run stock returns after corporate events : the UK evidence
(Virtus Interpress, 2014)
- article
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)
- article
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 ...