메뉴 건너뛰기




Volumn 13, Issue 4, 2004, Pages 357-370

On the estimation of stock-market reaction to corporate layoff announcements

Author keywords

Dummy variable regression; EGARCH; Layoffs; Time varying volatility

Indexed keywords


EID: 8844269564     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.rfe.2003.12.004     Document Type: Article
Times cited : (25)

References (20)
  • 2
    • 34848900983 scopus 로고
    • ARCH modeling in finance: A review of theory and empirical evidence
    • Bollerslev T. Chou R.Y. Kroner K.F. ARCH modeling in finance: A review of theory and empirical evidence Journal of Econometrics 52 1992 5-59
    • (1992) Journal of Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 5
    • 0000467128 scopus 로고    scopus 로고
    • Conditional heteroscedasticity adjusted market model and an event study
    • Corhay A. Rad A.T. Conditional heteroscedasticity adjusted market model and an event study Quarterly Review of Economics and Finance 36 1996 529-538
    • (1996) Quarterly Review of Economics and Finance , vol.36 , pp. 529-538
    • Corhay, A.1    Rad, A.T.2
  • 7
    • 84993924525 scopus 로고
    • Measuring and testing the impact of news on volatility
    • Engle R. Ng V. Measuring and testing the impact of news on volatility Journal of Finance 48 1993 1749-1778
    • (1993) Journal of Finance , vol.48 , pp. 1749-1778
    • Engle, R.1    Ng, V.2
  • 8
    • 1542569624 scopus 로고    scopus 로고
    • Impact of layoff announcements on the market value of the firm
    • Gunderson M. Verma A. Verma S. Impact of layoff announcements on the market value of the firm Industrial Relations 52 1997 364-381
    • (1997) Industrial Relations , vol.52 , pp. 364-381
    • Gunderson, M.1    Verma, A.2    Verma, S.3
  • 9
    • 84987480070 scopus 로고
    • Using dummy variables in the event methodology
    • Karafiath I. Using dummy variables in the event methodology Financial Review 23 1988 351-357
    • (1988) Financial Review , vol.23 , pp. 351-357
    • Karafiath, I.1
  • 10
  • 11
    • 0031351275 scopus 로고    scopus 로고
    • A comparative analysis of layoff announcements and stock price reactions in the United States and Japan
    • Lee P.M. A comparative analysis of layoff announcements and stock price reactions in the United States and Japan Strategic Management Journal 18 1997 879-894
    • (1997) Strategic Management Journal , vol.18 , pp. 879-894
    • Lee, P.M.1
  • 12
    • 0034148029 scopus 로고    scopus 로고
    • Uniformly least powerful tests of market efficiency
    • Loughran T. Ritter J. Uniformly least powerful tests of market efficiency Journal of Financial Economics 55 2000 361-389
    • (2000) Journal of Financial Economics , vol.55 , pp. 361-389
    • Loughran, T.1    Ritter, J.2
  • 14
    • 0000641348 scopus 로고
    • Conditional heteroscedasticity in asset returns: A new approach
    • Nelson D.B. Conditional heteroscedasticity in asset returns: A new approach Econometrica 59 1991 347-370
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 16
    • 0031522250 scopus 로고    scopus 로고
    • Layoff announcements: Stock market impact and financial performance
    • Palmon O. Sun H. Tang A.P. Layoff announcements: Stock market impact and financial performance Financial Management 26 1997 54-68
    • (1997) Financial Management , vol.26 , pp. 54-68
    • Palmon, O.1    Sun, H.2    Tang, A.P.3
  • 17
    • 0031351275 scopus 로고    scopus 로고
    • A comparative analysis of layoff announcements and stock price reactions in the United States and Japan
    • Peggy M.L. A comparative analysis of layoff announcements and stock price reactions in the United States and Japan Strategic Management Journal 18 1997 879-894
    • (1997) Strategic Management Journal , vol.18 , pp. 879-894
    • Peggy, M.L.1
  • 19
    • 0040361406 scopus 로고    scopus 로고
    • Size, time-varying beta, and conditional heteroscedasticity in UK stock returns
    • Reyes M.G. Size, time-varying beta, and conditional heteroscedasticity in UK stock returns Review of Financial Economics 8 1999 1-10
    • (1999) Review of Financial Economics , vol.8 , pp. 1-10
    • Reyes, M.G.1
  • 20
    • 84937292649 scopus 로고
    • The impact of layoff announcements on shareholders
    • Ursel N. Armstrong-Stassen M. The impact of layoff announcements on shareholders Industrial Relations 50 1995 636-650
    • (1995) Industrial Relations , vol.50 , pp. 636-650
    • Ursel, N.1    Armstrong-Stassen, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.