haku: @author Stafford, E. / yhteensä: 5
viite: 3 / 5
| Tekijä: | Mitchell, M. Stafford, E. |
| Otsikko: | Managerial decisions and long-term stock price performance |
| Lehti: | Journal of Business
2000 : JUL, VOL. 73:3, p. 287-330 |
| Asiasana: | DECISION THEORY SHARE PRICES METHODOLOGY |
| Kieli: | eng |
| Tiivistelmä: | A rapidly growing literature claims to reject the efficient market hypothesis by producing large estimates of long-term abnormal returns following major corporate events. The preferred methodology in this literature is to calculate average multiyear buy-and-hold abnormal returns and conduct inferences via a bootstrapping procedure. The authors show that this methodology is severely flawed because it assumes independence of multiyear abnormal returns for even firms, producing test statistics that are up to four times too large. |
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