Becchetti, Leonardo; Ciciretti, Rocco; Hasan, Iftekhar - Federal Reserve Bank of Atlanta - 2007
value abnormal returns, irrespective of the type of event (for example, addition or deletion from the index), and a … model is usually the most followed estimation benchmark for
calculating abnormal returns in event studies. The rationale … introducing regressors which are,
in many cases, weakly or not at all significant. The consequence (especially in event studies …