We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. For several special cases these...

Researchers studying stock price reactions to accounting information releases can choose among several statistical methods/models. We investigate the empirical distribution of common statistics used in SUR and OLS estimation via monte-carlo methods on daily stock return data. We find that the...