Monte Carlo procedures are used to compare the finite sample performance of several estimators that may be used in cross-sectional regressions with security abnormal returns as the dependent variable. Alternative models of event-induced increases in stock return variance are examined for the...

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...

In the event study literature, estimates of security abnormal returns are considered independent whenever securities have different event dates, i.e. in the absence of 'event clustering'. Nonetheless, there are three sources of cross-sectional correlations in estimated abnormal returns even when...

A growing body of research in accounting and finance examines the reaction of trading volume to new information. The typical 'volume event study' employs a single-index market model borrowed mutatis mutandis from abnormal returns event studies. In this article, several alternative event study...

In this paper, the authors use stock market data to examine the intraindustry effects of the July 5, 1982, closure of the Penn Square Bank. A sample of fifty-four bank stocks is divided into four portfolios: industry, money center, Texas, and upstream. The latter group consists of banks that had...

In this paper, the authors examine the stock market reaction to dividend announcements. A sample of dividend increases and decreases is partitioned by payout ratio increases and decreases. Previous research has examined the differential reaction to payout ratio increases and decreases only for...

In this paper, the author outlines a dummy-variable technique that is a convenient procedure for obtaining cumulative prediction errors and related test statistics. By appending a vector of (0,1) dummy variables to the right-hand side of the market model, results usually obtained in two steps...