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0003a MacKinlay (JEL 1997) Event Studies in Economics and Finance

Event studies in Econometrics

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486 views31 pages

0003a MacKinlay (JEL 1997) Event Studies in Economics and Finance

Event studies in Econometrics

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Event Studies in Economics and Finance

A. Craig MacKinlay

Journal of Economic Literature, Vol. 35, No. 1. (Mar., 1997), pp. 13-39.

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You have printed the following article:


Event Studies in Economics and Finance
A. Craig MacKinlay
Journal of Economic Literature, Vol. 35, No. 1. (Mar., 1997), pp. 13-39.
Stable URL:
http://links.jstor.org/sici?sici=0022-0515%28199703%2935%3A1%3C13%3AESIEAF%3E2.0.CO%3B2-W

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[Footnotes]

2
Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama; Kenneth R. FrencH
The Journal of Finance, Vol. 51, No. 1. (Mar., 1996), pp. 55-84.
Stable URL:
http://links.jstor.org/sici?sici=0022-1082%28199603%2951%3A1%3C55%3AMEOAPA%3E2.0.CO%3B2-B

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A Generalized Econometric Model and Tests of a Signalling Hypothesis with Two Discrete
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Sankarshan Acharya
The Journal of Finance, Vol. 43, No. 2. (Jun., 1988), pp. 413-429.
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Stock Prices and Changes in Earnings and Dividends: Some Empirical Results
John W. Ashley
The Journal of Political Economy, Vol. 70, No. 1. (Feb., 1962), pp. 82-85.
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An Analysis of the Impact of Deposit Rate Ceilings on the Market Values of Thrift Institutions
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Consistent Estimation of Cross-Sectional Models in Event Studies


B. Espen Eckbo; Vojislav Maksimovic; Joseph Williams
The Review of Financial Studies, Vol. 3, No. 3. (1990), pp. 343-365.
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The Adjustment of Stock Prices to New Information


Eugene F. Fama; Lawrence Fisher; Michael C. Jensen; Richard Roll
International Economic Review, Vol. 10, No. 1. (Feb., 1969), pp. 1-21.
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Multifactor Explanations of Asset Pricing Anomalies


Eugene F. Fama; Kenneth R. FrencH
The Journal of Finance, Vol. 51, No. 1. (Mar., 1996), pp. 55-84.
Stable URL:
http://links.jstor.org/sici?sici=0022-1082%28199603%2951%3A1%3C55%3AMEOAPA%3E2.0.CO%3B2-B

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and
Capital Budgets
John Lintner
The Review of Economics and Statistics, Vol. 47, No. 1. (Feb., 1965), pp. 13-37.
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Mergers and the Market for Corporate Control


Henry G. Manne
The Journal of Political Economy, Vol. 73, No. 2. (Apr., 1965), pp. 110-120.
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The Long-Run Performance of Initial Public Offerings


Jay R. Ritter
The Journal of Finance, Vol. 46, No. 1. (Mar., 1991), pp. 3-27.
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Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk


William F. Sharpe
The Journal of Finance, Vol. 19, No. 3. (Sep., 1964), pp. 425-442.
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for


Heteroskedasticity
Halbert White
Econometrica, Vol. 48, No. 4. (May, 1980), pp. 817-838.
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