Inference in Long Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

1984 • 17,865 citations

On Persistence in Mutual Fund Performance

1997 • 16,085 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 10,751 citations

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

1962 • 7,696 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 citations

Sampling-Based Approaches to Calculating Marginal Densities

1990 • 6,498 citations

The Long‐Run Performance of initial Public Offerings

1991 • 3,447 citations

The New Issues Puzzle

1995 • 3,411 citations

Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks

1997 • 2,812 citations

An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

POSTERIOR PREDICTIVE ASSESSMENT OF MODEL FITNESS VIA REALIZED DISCREPANCIES

1996 • 1,942 citations

Improved Methods for Tests of Long‐Run Abnormal Stock Returns

1999 • 1,913 citations

Bayes Estimates for the Linear Model

1972 • 1,875 citations

Market underreaction to open market share repurchases

1995 • 1,824 citations

Do Brokerage Analysts' Recommendations Have Investment Value?

1996 • 1,810 citations

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

1997 • 1,718 citations

Sampling-Based Approaches to Calculating Marginal Densities

1990 • 1,547 citations

Myth or Reality? The Long‐Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital‐Backed Companies

1997 • 1,451 citations

Markov Chain Monte Carlo in Practice.

1997 • 1,402 citations

Special Information and Insider Trading

1974 • 1,307 citations

Bayesianly Justifiable and Relevant Frequency Calculations for the Applied Statistician

1984 • 1,274 citations

Measuring long-horizon security price performance

1997 • 1,071 citations

Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?

1995 • 1,000 citations

Bayes-Stein Estimation for Portfolio Analysis

1986 • 968 citations

Illustration of Bayesian Inference in Normal Data Models Using Gibbs Sampling

1990 • 953 citations

Risk and return: The case of merging firms

1974 • 927 citations

Sampling and Bayes' Inference in Scientific Modelling and Robustness

1980 • 890 citations

The Long-Run Performance of Initial Public Offerings

1991 • 889 citations

Uniformly least powerful tests of market efficiency

2000 • 865 citations

Is the abnormal return following equity issuances anomalous?

2000 • 830 citations

Book-to-market, dividend yield, and expected market returns: A time-series analysis

1997 • 775 citations

Model Determination using Predictive Distributions with Implementation via Sampling-Based Methods

1992 • 650 citations

Intertemporal asset pricing

1990 • 647 citations

Tools for Statistical Inference: Methods for the Exploration of Posterior Distributions and Likelihood Functions

1997 • 641 citations

The effect of estimation risk on optimal portfolio choice

1976 • 551 citations

A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS

1973 • 467 citations

Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research

1987 • 431 citations

Facilitating the Gibbs Sampler: The Gibbs Stopper and the Griddy-Gibbs Sampler

1992 • 426 citations

Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies

1997 • 346 citations

Predictive Model Selection

1995 • 341 citations

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

1986 • 273 citations

Managerial Decisions and Long-Term Stock Price Performance

1998 • 259 citations

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

1987 • 251 citations

Bayesian and CAPM estimators of the means: Implications for portfolio selection

1991 • 239 citations

A Comparison of Alternative Testing Methodologies Used in Capital Market Research

1984 • 234 citations

Costs of Equity Capital and Model Mispricing

1999 • 218 citations

PORTFOLIO ANALYSIS UNDER UNCERTAIN MEANS, VARIANCES, AND COVARIANCES

1974 • 192 citations

Analyzing investments whose histories differ in length

1997 • 188 citations

Shrinkage Estimation of Price and Promotional Elasticities: Seemingly Unrelated Equations

1991 • 133 citations

Bayesian inference in asset pricing tests

1990 • 112 citations

Bayesian Inference and Portfolio Efficiency

1995 • 102 citations

A Predictive Approach to the Analysis of Designed Experiments

1994 • 98 citations

Model Checking via Parametric Bootstraps in Time Series Analysis

1992 • 82 citations

A bayesian approach to testing the arbitrage pricing theory

1991 • 81 citations

Measuring Mutual Fund Performance with Characteristic-Based Benchmarks

1998 • 57 citations

Range restrictions for product-moment correlation matrices

1981 • 33 citations

Interacting Biases, Non-Normal Return Distributions and the Performance of Parametric and Bootstrap Tests for Long-Horizon Event Studies

1997 • 12 citations

A Frequency Domain Bootstrap-Based Method for Checking the Fit of a Transfer Function Model

1996 • 7 citations

Range of Correlation Coefficients

1968 • 4 citations

The Equity Performance of Investment Newsletters

1997 • 2 citations