haku: @author Kallunki, J-P. / yhteensä: 10
viite: 7 / 10
Tekijä: | Kallunki, J-P. |
Otsikko: | Handling missing prices in a thinly traded stock market: Implications for the specification of event study methods |
Lehti: | European Journal of Operational Research
1997 : NOV, VOL. 103:1, p. 186-197 |
Asiasana: | FINANCE SIMULATION STOCK RETURNS STOCK MARKETS METHOD STUDY |
Kieli: | eng |
Tiivistelmä: | This paper investigates how the alternative procedures for handling missing prices affect the properties of the return data, and whether this in turn affects the specification of event study methods, and in particular the properties of abnormal returns caused by the thin trading at the event period. The identification of well specified event study methods is economically motivated, since these methods are frequently used to investigate the existence and magnitude of the postannouncement anomalies. The paper employs a simulation approach to provide new evidence on how thin trading affects the specification of the event study methods in thinly traded environment. |
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