We use the system GMM to explore both cross sectional variations and time-series effects within the post-event period for losers and winners portfolios. Some of these effects are not observable, but ignoring them lays the estimation open to bias from concealed heterogeneity amongst companies and...

In a previous paper, we utilized panel data methods to explore both cross-sectional variations and time series effects within the post-event period for losers' stocks. Some of these effects are not observable, but ignoring them lays the estimation open to bias from concealed heterogeneity...