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Common risk factors in the returns on stocks and bonds

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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

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THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

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1976 • 1,761 citations

Event-study methodology under conditions of event-induced variance

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1974 • 1,307 citations

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1977 • 1,197 citations

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1980 • 1,152 citations

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1969 • 980 citations

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1972 • 944 citations

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1966 • 866 citations

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1984 • 760 citations

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1971 • 736 citations

Nonparametric event study tests

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1989 • 632 citations

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1981 • 629 citations

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1983 • 583 citations

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1971 • 576 citations

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1985 • 503 citations

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1972 • 500 citations

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1985 • 460 citations

A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach

1984 • 430 citations

Withdrawn Security Offerings

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On the Use of the Multivariate Regression Model in Event Studies

1985 • 365 citations

Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model

1977 • 343 citations

Partially anticipated events: A model of stock price reactions with an application to corporate acquisitions

1985 • 312 citations

The Likelihood Ratio, Wald, and Lagrange Multiplier Tests: An Expository Note

1982 • 310 citations

Capital Market Equilibrium, Information Production, and Selecting Accounting Techniques: Theoretical Framework and Review of Empirical Work

1974 • 301 citations

The Pricing of Interest‐Rate Risk: Evidence from the Stock Market

1986 • 280 citations

An Approach to Statistical Inference in Cross-Sectional Models with Security Abnormal Returns As Dependent Variable

1986 • 273 citations

Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk

1973 • 253 citations

CROSS-SECTIONAL DEPENDENCE AND PROBLEMS IN INFERENCE IN MARKET-BASED ACCOUNTING RESEARCH

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Risk measurement when shares are subject to infrequent trading

1983 • 248 citations

A Comparison of Alternative Testing Methodologies Used in Capital Market Research

1984 • 234 citations

A Positive Theory of Environmental Quality Regulation *

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Standard Errors in Event Studies

1992 • 229 citations

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1990 • 228 citations

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1990 • 207 citations

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1992 • 195 citations

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1985 • 190 citations

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1979 • 180 citations

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1985 • 167 citations

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1990 • 164 citations

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1987 • 157 citations

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1989 • 155 citations

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1986 • 149 citations

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1980 • 128 citations

The Impact of Merger-Related Regulations Using Exact Distributions of Test Statistics

1985 • 119 citations

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1988 • 100 citations

Derived factors in event studies

1985 • 88 citations

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1986 • 88 citations

The Arbitrage Pricing Theory and Multifactor Models of Asset Returns

1993 • 87 citations

Value of Latent Information: Alternative Event Study Methods

1993 • 85 citations

Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis

1980 • 79 citations

The Brazilian default announcement and the contagion effect hypothesis

1991 • 78 citations

Investigating security-price performance in the presence of event-date uncertainty

1988 • 77 citations

Using Stock Price Data to Measure the Effects of Regulation: The Interstate Commerce Act and the Railroad Industry

1989 • 69 citations

Intra- and Interindustry Effects of Bank Securities Market Activities: The Case of Discount Brokerage

1987 • 66 citations

The Sherman Antitrust Act and the Railroad Cartels

1988 • 66 citations

Accounting for retail land sales

1984 • 65 citations

A general analysis of bias in the estimated standard errors of least squares coefficients

1983 • 59 citations

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1984 • 58 citations

A Reexamination of the Power of Alternative Return-Generating Models and the Effect of Accounting for Cross-Sectional Dependencies in Event Studies

1990 • 46 citations

The wealth effects of the risk-based capital requirement in banking

1990 • 42 citations

Intra‐Industry Effects of a Regulatory Shift: Capital Market Evidence from Penn Square

1989 • 41 citations

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1999 • 38 citations

THE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS

1977 • 37 citations

Using Pooled Time-Series and Cross-Section Data to Test the Firm and Time Effects in Financial Analyses

1977 • 36 citations

More Methods That Make Little Difference In Event Studies

1988 • 34 citations

Tests for cumulative abnormal returns over long periods: Simulation evidence

1993 • 31 citations

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1989 • 31 citations

More Powerful Portfolio Approaches to Regressing Abnormal Returns on Firm‐Specific Variables for Cross‐Sectional Studies

1992 • 30 citations

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1986 • 28 citations

Measuring market response to regulation of the cable TV industry

1993 • 25 citations

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1986 • 23 citations

Money supply announcements: A retrospective

1991 • 20 citations

Levels of significance in event studies

1991 • 19 citations

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1985 • 18 citations

Event Studies and Systems Methods: Some Additional Evidence

1987 • 16 citations

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1986 • 15 citations

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1993 • 13 citations

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1994 • 12 citations

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1986 • 10 citations

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1990 • 8 citations

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1992 • 8 citations

Event Study Methodology: A New and Stochastically Flexible Approach

1998 • 7 citations

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1986 • 3 citations

Evaluating the wealth effects of regulation using daily stock return data : some methodological issues

1985 • 1 citations