Uniformly least powerful tests of market efficiency

Journal of Financial Economics

Volumn 55, Issue 3, 2000, Pages 361-389

  Loughran, Tim ^a   Ritter, Jay R ^b  

^a UNIVERSITY OF NOTRE DAME   (United States)

^b UNIVERSITY OF FLORIDA   (United States)

Author keywords

Anomalies; G12; G14; Market efficiency; New issues puzzle; Risk factors

Indexed keywords

EID: 0034148029     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(99)00054-9     Document Type: Article

References (27)

1. Banz R., Breen W. Sample dependent results using accounting and market data. some evidence Journal of Finance. 41:1986;779-793.
2. Barber B., Lyon J. Detecting long-run abnormal stock returns. the empirical power and specification of test statistics Journal of Financial Economics. 43:1997;341-372.
3. Brav A. Inference in long-horizon event studies. A Bayesian approach with application to initial public offerings Unpublished working paper. 1998;Duke University, Durham, NC.
4. Brav, A., Geczy, C., Gompers, P., 1999. Is the abnormal return following equity issuance anomalous? Journal of Financial Economics, forthcoming.
5. Brav A., Gompers P. Myth or reality? The long-run underperformance of initial public offerings. evidence from venture and nonventure capital-backed companies Journal of Finance. 52:1997;1791-1821.
6. Campbell J., Lo A., MacKinlay C. The Econometrics of Financial Markets. 1997;Princeton University Press, Princeton, NJ.
7. Eckbo, B. E., Masulis, R. W., Norli, O., 1999. Seasoned public offerings: resolution of the `new issues puzzle'. Journal of Financial Economics, forthcoming.
8. Fama E. Multifactor portfolio efficiency and multifactor asset pricing. Journal of Financial and Quantitative Analysis. 31:1996;441-465.
9. Fama E. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics. 49:1998;283-306.
10. Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33:1993;3-56.
11. Hasbrouck J. The summary informativeness of stock trades: an econometric analysis. Review of Financial Studies. 4:1991;571-595.
12. Ikenberry D., Lakonishok J., Vermaelen T. Market underreaction to open market share repurchases. Journal of Financial Economics. 39:1995;181-208.
13. Jaffe J.F. Special information and insider trading. Journal of Business. 47:1974;410-428.
14. Jegadeesh, N., 1992. Does market risk really explain the size effect? Journal of Financial and Quantitative Analysis 27, 337-351.
15. Jegadeesh N. Long-run performance of seasoned equity offerings. benchmark errors and biases in expectations Unpublished working paper. 1999;University of Illinois, Urbana, IL.
16. Kothari S.P., Warner J. Measuring long-horizon security price performance. Journal of Financial Economics. 43:1997;301-339.
17. Loughran T., Ritter J. The new issues puzzle. Journal of Finance. 50:1995;23-51.
18. Loughran, T., Vijh, A., 1997. Do long-term shareholders benefit from corporate acquisitions? Journal of Finance 52, 1765-1790.
19. Lyon J., Barber B., Tsai C. Improved methods for tests of long-run abnormal stock returns. Journal of Finance. 54:1999;165-201.
20. Mandelker G. Risk and return. the case of merging firms Journal of Financial Economics. 1:1974;303-335.
21. Mitchell M., Stafford E. Managerial decisions and long-term stock price performance. Unpublished working paper. 1999;Harvard University, Cambridge, MA.
22. Ritter J. The long-run performance of initial public offerings. Journal of Finance. 46:1991;3-27.
23. Shleifer A., Vishny R. Equilibrium short horizons of investors and firms. American Economic Review. 80:1990;148-153.
24. Shleifer A., Vishny R. The limits of arbitrage. Journal of Finance. 52:1997;35-55.
25. Spiess K., Affleck-Graves J. Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics. 38:1995;243-268.
26. Stein J. Rational capital budgeting in an irrational world. Journal of Business. 69:1996;429-455.
27. White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica. 48:1980;817-838.