search query: @author Willinger, G.L. / total: 1
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| Author: | Chandra, R. Moriarity, S. Willinger, G.L. |
| Title: | A reexamination of the power of alternative return-generating models and the effect of accounting for cross- sectional dependencies in event studies |
| Journal: | Journal of Accounting Research
1990 : AUT, VOL. 28:2, p.398-408 |
| Index terms: | ACCOUNTING ACCOUNTING RESEARCH |
| Language: | eng |
| Abstract: | Brown and Warner (1980, 1985) compared the power of three return-generating models with simulation. The present authors reexamine their power, the pros and cons of accounting for cross-sectional dependencies in abnormal returns. It is proved that models 2 and 3 offer more power than does model 1 and it is useless to ignore cross-sectional dependencies. |
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