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Volumn 26, Issue 2, 2003, Pages 165-178

Event-induced volatility and tests for abnormal performance

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EID: 0142132674     PISSN: 02702592     EISSN: None     Source Type: Journal    
DOI: 10.1111/1475-6803.00052     Document Type: Article
Times cited : (62)

References (12)
  • 1
    • 0001917976 scopus 로고
    • Conditional heteroscedasticity in time series of stock returns: Evidence and forecasts
    • Akgiray, V., 1989, Conditional heteroscedasticity in time series of stock returns: Evidence and forecasts, Journal of Business 62, 55-80.
    • (1989) Journal of Business , vol.62 , pp. 55-80
    • Akgiray, V.1
  • 3
    • 10644277503 scopus 로고
    • Event-study methodology under conditions of event-induced variance
    • Boehmer, E., J. Musumeci, and A. Poulsen, 1991, Event-study methodology under conditions of event-induced variance, Journal of Financial Economics 30, 253-72.
    • (1991) Journal of Financial Economics , vol.30 , pp. 253-272
    • Boehmer, E.1    Musumeci, J.2    Poulsen, A.3
  • 4
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 31, 307-27.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 5
    • 0142023181 scopus 로고    scopus 로고
    • A new stochastically flexible event methodology with application to Proposition 103
    • Brockett, P., H. Chen, and J. Garven, 1999, A new stochastically flexible event methodology with application to Proposition 103, Insurance, Mathematics and Economics 25, 197-217.
    • (1999) Insurance, Mathematics and Economics , vol.25 , pp. 197-217
    • Brockett, P.1    Chen, H.2    Garven, J.3
  • 7
    • 36749092418 scopus 로고
    • Using daily stock returns. The case of event studies
    • _, 1985, Using daily stock returns. The case of event studies. Journal of Financial Economics 14, 3-31.
    • (1985) Journal of Financial Economics , vol.14 , pp. 3-31
  • 8
    • 0002643496 scopus 로고
    • Measuring security price performance using daily Nasdaq returns
    • Campbell, C. and C. Wasley, 1993, Measuring security price performance using daily Nasdaq returns, Journal of Financial Economics 33, 73-92.
    • (1993) Journal of Financial Economics , vol.33 , pp. 73-92
    • Campbell, C.1    Wasley, C.2
  • 9
    • 38249006133 scopus 로고
    • A nonparametric test for abnormal security-price performance in event studies
    • Corrado, C., 1989, A nonparametric test for abnormal security-price performance in event studies, Journal of Financial Economics 23, 385-95.
    • (1989) Journal of Financial Economics , vol.23 , pp. 385-395
    • Corrado, C.1
  • 11
    • 0011765591 scopus 로고    scopus 로고
    • Event studies in economics and finance
    • MacKinlay, A., 1997, Event studies in economics and finance, Journal of Economic Literature 35, 13-39.
    • (1997) Journal of Economic Literature , vol.35 , pp. 13-39
    • Mackinlay, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.