USING DAILY STOCK RETURNS - THE CASE OF EVENT STUDIES

被引:2804
|
作者
BROWN, SJ [1 ]
WARNER, JB [1 ]
机构
[1] UNIV ROCHESTER,ROCHESTER,NY 14627
关键词
D O I
10.1016/0304-405X(85)90042-X
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:3 / 31
页数:29
相关论文
共 50 条
  • [21] INVESTMENT STRATEGIES TAILORED TO DAILY SEASONALITY IN STOCK RETURNS
    Skrinjaric, Tihana
    EKONOMSKA MISAO I PRAKSA-ECONOMIC THOUGHT AND PRACTICE, 2013, 22 (01): : 97 - 119
  • [22] Sentiment and Stock Returns: Anticipating a Major Sporting Event
    Payne, Brian C.
    Tresl, Jiri
    Friesen, Geoffrey C.
    JOURNAL OF SPORTS ECONOMICS, 2018, 19 (06) : 843 - 872
  • [23] Getting high on cannabis stock returns an event study
    Afik, Zvika
    Cohen, Tehila R.
    Lahav, Yaron
    FINANCE RESEARCH LETTERS, 2022, 46
  • [24] A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
    Zevallos, Mauricio
    REVISTA ECONOMIA, 2019, 42 (84): : 94 - 101
  • [25] DAILY VARIATION AND PREDICTING STOCK MARKET RETURNS FOR THE FRANKFURTER BORSE (STOCK MARKET)
    Jarrettt, Jeffrey E.
    Schilling, Janne
    JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT, 2008, 9 (03) : 189 - 198
  • [26] Using non-parametric search algorithms to forecast daily excess stock returns
    Joseph, NL
    Brée, DS
    Kalyvas, E
    APPLICATIONS OF ARTIFICIAL INTELLIGENCE IN FINANCE AND ECONOMICS, 2004, 19 : 93 - 125
  • [27] Hyper-ellipsoid clustering of time series. A case study for daily stock returns
    Marica, Vasile-George
    EMERGING MARKETS QUERIES IN FINANCE AND BUSINESS (EMQ 2013), 2014, 15 : 777 - 783
  • [28] Firm-specific investor sentiment and daily stock returns
    Seok, Sang Ik
    Cho, Hoon
    Ryu, Doojin
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 50
  • [29] Twitter's daily happiness sentiment and the predictability of stock returns
    You, Wanhai
    Guo, Yawei
    Peng, Cheng
    FINANCE RESEARCH LETTERS, 2017, 23 : 58 - 64
  • [30] How Did the Financial Crisis Affect Daily Stock Returns?
    Chaudhury, Mo
    JOURNAL OF INVESTING, 2014, 23 (03): : 65 - 84