Empirical Methods in Corporate Finance:
Event Studies(3)
-
Common Risk Factors in the Returns on
Stocks and Bonds
-
Improved Methods for Tests of Long-Run
Abnormal Stock Returns
-
Uniformly Least Powerful Tests of Market Efficiency
1.
Common Risk Factors in the Returns on
Stocks and Bonds
Journal of Financial Economics
, 1993, 33(1): 3-56
Eugene F. Fama
,
University of Chicago
Kenneth R. French
,
University of Chicago
This paper identities five common risk factors in the returns on stocks and bonds. There are three
stock-market factors: an overall market factor and factors related to firm size and book-to-market
equity. There are two bond-market factors. related to maturity and default risks. Stock returns have
shared variation due to the stock-market factors, and they are linked to bond returns through
shared variation in the bond-market factors. Except for low-grade corporates. the bond-market
factors capture the common variation in bond returns. Most important. the five factors seem to
explain average returns on stocks and bonds.
原文链接：
https://sci-hub.se/10.1016/0304-405x(93)90023-5
2.
Improved Methods for Tests of Long-Run
Abnormal Stock Returns
The Journal of Finance
, 1999, 54(1): 165-201
John D. Lyon
,
University of California, Davis
Brad M. Barber
,
University of California, Davis
Chih-Ling Tsai
,
University of California, Davis
We analyze tests for long-run abnormal returns and document that two approaches
yield well-specified test statistics in random samples. The first uses a traditional
event study framework and buy-and-hold abnormal returns calculated using carefully
constructed reference portfolios. Inference is based on either a skewnessadjusted
t-statistic or the empirically generated distribution of long-run abnormal
returns. The second approach is based on calculation of mean monthly abnormal
returns using calendar-time portfolios and a time-series t-statistic. Though both
approaches perform well in random samples, misspecification in nonrandom samples
is pervasive. Thus, analysis of long-run abnormal returns is treacherous.
原文链接：
https://sci-hub.tw/10.2307/222413
3.Uniformly Least Powerful Tests of Market Efficiency
Journal of Financial Economics
, 2000, 55: 329-359
Tim Loughran
,
University of Notre Dame
Jay R. Ritter
,
University of Florida
