Improved methods for tests of long-run abnormal stock returns

Journal of Finance

Volumn 54, Issue 1, 1999, Pages 165-201

  Lyon, John D ^b   Barber, Brad M ^b   Tsai, Chih Ling ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0009885154     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00101     Document Type: Article

References (40)

1. Ball, Ray, S. P. Kothari, and Charles E. Wasley, 1995, Can we implement research on stock trading rules?, Journal of Portfolio Management 21, 54-63.
2. Barber, Brad M., and John D. Lyon, 1997a, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372.
3. Barber, Brad M., and John D. Lyon, 1997b, Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms, Journal of Finance 52, 875-884.
4. Bickel, Peter J., Friedrich Götze, and Willem R. van Zwet, 1997, Resampling fewer than n observations: Gains, losses, and remedies for losses, Statistica Sinica 7, 1-31.
5. Blume, Marshall E., and Robert F Stambaugh, 1983, Biases in computed returns: An application to the size effect, Journal of Financial Economics 12, 387-404.
6. Brav, Alon, 1997, Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings, Working paper, University of Chicago.
7. Brav, Alon, Chris Géczy, and Paul A. Gompers, 1995, Underperformance of seasoned equity offerings revisited, Working paper, Harvard University.
8. Brav, Alon, and Paul A. Gompers, 1997, Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and nonventure capital-backed companies, Journal of Finance 52, 1791-1821.
9. Brock, William, Josef Lakonishok, and Blake LeBaron, 1992, Simple technical trading rules and the stochastic properties of stock returns, Journal of Finance 47, 1731-1764.
10. Canina, Linda, Roni Michaely, Richard Thaler, and Kent Womack, 1998, Caveat compounder: A warning about using the daily CRSP equally-weighted index to compute long-run excess returns, Journal of Finance 53, 403-416.
11. Chan, Louis K. C., Narasimhin Jegadeesh, and Josef Lakonishok, 1995, Evaluating the performance of value versus glamour stocks: The impact of selection bias, Journal of Financial Economics 38, 269-296.
12. Conrad, Jennifer, and Gautum Kaul, 1993, Long-term market overreaction or biases in computed returns?, Journal of Finance 48, 39-64.
13. Cowan, Arnold R., and Anne M. A. Sergeant, 1996, Interacting biases, non-normal return distributions and the performance of parametric and bootstrap tests of long-horizon event studies, Working paper, Iowa State University.
14. Davis, James L., 1994, The cross-section of realized stock returns: The pre-Compustat evidence, Journal of Finance 49, 1579-1593.
15. Fama, Eugene F., 1998, Market efficiency, long-term returns and behavioral finance, Journal of Financial Economics 49, 283-306.
16. Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
17. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
18. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
19. Fama, Eugene F., and Kenneth R. French, 1998, Value versus growth: The international evidence, Journal of Finance 53, 1975-1999.
20. Hall Peter, 1992, On the removal of skewness by transformation, Journal of the Royal Statistical Society, Series B 54, 221-228.
21. Ikenberry, David, Josef Lakonishok, and Theo Vermaelen, 1995, Market underreaction to open market share repurchases, Journal of Financial Economics 39, 181-208.
22. Ikenberry, David, Graeme Rankine, and Earl Stice, 1996, What do stock splits really signal?, Journal of Financial and Quantitative Analysis 31, 357-376.
23. Jaffe, Jeffrey F., 1974, Special information and insider trading, Journal of Business 47, 410-428.
24. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
25. Johnson, Norman J., 1978, Modified t tests and confidence intervals for asymmetrical populations, Journal of the American Statistical Association 73, 536-544.
26. Kothari, S. P., and Jerold B. Warner, 1997, Measuring long-horizon security price performance, Journal of Financial Economics 43, 301-340.
27. Lee, Inmoo, 1997, Do firms knowingly sell overvalued equity?, Journal of Finance 52, 1439-1466.
28. Loughran, Tim, 1997, Book-to-market across firm size, exchange, and seasonally: Is there an effect?, Journal of Financial and Quantitative Analysis 32, 249-268.
29. Loughran, Tim, and Jay Ritter, 1995, The new issues puzzle, Journal of Finance 50, 23-52.
30. Mandelker, Gershon, 1974, Risk and return: the case of merging firms, Journal of Financial Economics 1, 303-336.
31. Neyman, Jerzy, and Egon S. Pearson, 1928, On the use and interpretation of certain test criteria for purposes of statistical inference, part I, Biometrika 20A, 175-240.
32. Pearson, Egon S., 1929a, The distribution of frequency constants in small samples from symmetrical distributions, Biometrika 21, 356-360.
33. Pearson, Egon S., 1929b, The distribution of frequency constants in small samples from non-normal symmetrical and skew populations, Biometrika 21, 259-286.
34. Rau, P. Rahavendra, and Theo Vermaelen, 1996, Glamour, value and the post-acquisition performance of acquiring firms, Working paper, INSEAD.
35. Ritter, Jay R., 1991, The long-run performance of initial public offerings, Journal of Finance 46, 3-27.
36. Roll, Richard, 1983, On computing mean returns and the small firm premium, Journal of Financial Economics 12, 371-386.
37. Shao, Jun, 1996, Bootstrap model selection, Journal of the American Statistical Association 91, 655-665.
38. Speiss, D. Katherine, and John Affleck-Graves, 1995, Underperformance in long-run stock returns following seasoned equity offerings, Journal of Financial Economics 28, 243-268.
39. Speiss, D. Katherine, and John Affleck-Graves, 1996, The long-run performance of stock returns following debt offers, Working paper, University of Notre Dame.
40. Sutton, Clifton D., 1993, Computer-intensive methods for tests about the mean of an asymmetrical distribution, Journal of the American Statistical Association 88, 802-808.