Karafiath, Imre - In: International Journal of Managerial Finance 10 (2014) August, pp. 418-431
Purpose –In the finance literature, fitting a cross-sectional regression with (estimated) abnormal returns as the dependent variable and firm-specific variables (e.g. financial ratios) as independent variables has become de rigueur for a publishable event study. In the absence of skewness...