A modified Corrado test for assessing abnormal security returns

Event studies typically use the methodology developed by Fama et al. [1969. The adjustment of stock prices to new information. International Economic Review 10, no. 1: 1–21] to segregate a stock's return into expected and unexpected components. Moreover, conventional practice assumes that abnor...

Full description

Saved in:
Bibliographic Details
Main Authors: Ali Ataullah, Xiaojing Song, Mark Tippett
Format: Default Article
Published: 2011
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Abnormal return
Corrado test
Edgeworth expansion
Normal distribution
Rank
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/15913
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://hdl.handle.net/2134/15913

Similar Items