Sercu, Piet (contributor); Vandebroek, Martina (contributor) - 2007
|is crucial in tests or applications of the CAPM or in event studies
since Fama, Fisher, Jensen and Roll (1973). The standard, in …. Famously, Brown and Warner’s (1980) Monte-Carlo
experiment on event studies shows that using OLS-estimated betas introduces … Studies, Naamsestraat 69, B- 3000 Leuven; Tel: +32 16
326 756; piet.sercu@econ.kuleuven.ac.be.
zKU Leuven, Graduate School of …