Ball, Clifford A., and Walter N. Tourous, “Investigating Security-Price Performance in the Presence of EventDate Uncertainty.” Journal of Financial Economics
22, 123–153, (1988).CrossRef
Ball, Ray, and Philip Brown, “An Empirical Evaluation of Accounting Numbers.” Journal of Accounting Research 6, 159–178, (1968).
Barone-Adesi, G., “Arbitrage Equilibrium with Skewed Asset Returns.” Journal of Financial and Quantitative Analysis 20, 299–313, (September 1985).
Beaver, W. H., R. Clarke, and W. Wright, “The Association Between Unsystematic Security Returns and the Magnitude of the Earnings Forecast Error.” Journal of Accounting Research 17, 36–40, (Autumn 1979).
Beaver, W. H., and W. R. Landsman. The Incremental Information Content of FAS 33 Disclosures FASB Research Report, Stamford, CT: FASB, 1983.
Bernard, V. L., “Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research.” Journal of Accounting Research 25, 1–48, (Spring 1987).
Biddle, G., and F. Lindahl, “Stock Price Reaction to LIFO Adoptions.” Journal of Accounting Research 20, 551–588, (Autumn 1982).
Boehmer, Ekkehart, Jim Musumeci, and Annette B. Poulsen. “Event-Study Methodology Under Conditions of Event-Induced Variance.” Journal of Financial Economics 30, 253–272, (1991).
Brown, Stephen J., and Jerold B. Warner, “Measuring Security Price Performance.” Journal of Financial Economics 8, 205–258, (1980).
Brown, Stephen J., and Jerold B. Warner, “Using Daily Stock Returns: The Case of Event Studies.” Journal of Financial Economics 14, 3–31, (March 1985).
Campbell, Cynthia J., and Charles E. Wasley. “Measuring Security Price Performance Using Daily NASDAQ Returns” Journal of Financial Economics 33, 73–92, (1993).
Chandra, Ramesh, and Bala V. Balachandran, “More Powerful Portfolio Approaches to Regressing Abnormal Returns on Firm-Specific Variables for Cross-Sectional Studies.” Journal of Finance 47, 2055–2070, (December 1992).
Chandra, R., S. Moriarity, and G. L. Willinger, “A Reexamination of the Power of Alternative Return Generating Models and the Effect of Accounting for Cross-Sectional Dependencies in Event Studies.” Journal of Accounting Research 28, 398–408, (Autumn 1990).
Collins, D. W., and W. T. Dent, “A Comparison of Alternative Testing Methodologies Used in Capital Market Research” Journal of Accounting Research 22, 48–84, (Spring 1984).
Corrado, Charles J., “A Nonparametric Test for Abnormal Security-Price Performance in Event Studies.” Journal of Financial Economics 23, 385–395, (1989).
Corrado, Charles J., “Testing for Abnormal Security-Price Performance Under Conditions of Event-Period Uncertainty.” Review of Quantitative Finance and Accounting 3, 127–148, (1993).
Fama, Eugene F., Lawrence Fisher, Michael Jensen, and Richard Roll, “The Adjustment of Stock Prices to New Information.” International Economic Review 10, 1–21, (February 1969).
Friend, I., and R. Westerfield, “Co-Skewness and Capital Asset Pricing.” Journal of Finance 35, 897–914, (September 1980).
Jaffe, J. F., “Special Information and Insider Trading.” Journal of Business 47, 410–428, (July 1974).
Judge, George G., R. Carter Hill, William E. Griffiths, Helmut Lutkepohl, and Tsoung-Chao Lee, Introduction to the Theory and Practice of Econometrics. John Wiley and Sons, Inc., 2nd edition, 1988.
Kraus, A., and R. Litzenberger, “Skewness Preference and the Valuation of Risky Assets.” Journal of Finance 31, 1085–1094, (September 1976).
Leftwich, R., “Evidence on the Impact of Mandatory Changes in Accounting Principles on Corporate Loan Agreements.” Journal of Accounting and Economics 3, 3–36, (1981).
Lim, K., “A New Test of the Three-Moment Capital Asset Pricing Model,” Journal of Financial and Quantitative Analysis 24, 205–216, (June 1989).
Malatesta, Paul H., “Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares.” Journal of Financial and Quantitative Analysis 21, 27–38, (March 1986).
Mandelker, G., “Risk and Return: The Case of Merging Firms.” Journal of Financial Economics 1, 303–335, (December 1974).
McDonald, Bill, “Event Studies and Systems Methods: Some Additional Evidence.” Journal of Financial and Quantitative Analysis 22, 495–504, (December 1987).
Patell, James, “Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Tests.” Journal of Accounting Research 14, 246–276, (1976).
Schipper, Katharine, and Rex Thompson, “The Impact of Merger-Related Regulation on the Shareholders of Acquiring Firms.” Journal of Accounting Research 21, 184–221, (Spring 1983).
Scott, R., and P. Horvath, “On the Direction of Preference for Moments of Higher Order than the Variance.” Journal of Finance 35, 915–919, (September 1980).
Sears, S., and K. C. J. Wei, “The Structure of Skewness Preferences in Asset Pricing Models with Higher Moments: An Empirical Test.” Financial Review 23, 25–38, (February 1988).
Strong, Norman, “Modelling Abnormal Returns: A Review Article.” Journal of Business Finance and Accounting 19, 533–553, (June 1992).
Theil, H., Principles of Econometrics New York, NY: Wiley, 1971.
Varela, Oscar, and Sang H. Lee, “International Listings, the Security Market Line and Capital Market Integration: The Case of U.S. Listings on the London Stock Exchange.” Journal of Business Finance and Accounting 20, 843–863, (November 1993a).
Varela, Oscar, and Sang H. Lee, “The Combined Effects of International Listing on the Security Market Line and Systematic Risk for U.S. Listings on the London and Tokyo Stock Exchanges,” in International Financial Market Integration, Stanley R. Stansell, Ed., Basil Blackwell, Oxford and Cambridge, Chapter 18, 367–388, 1993b.