Covariance Analysis as an Alternative Event‐Study Methodology
Stephen Hogan
(Department of Accounting & Finance, Eastern Illinois University, Charleston, Illinois 61920)
215
Abstract
Today the most common way of testing for the presence of abnormal stock market returns is by following the pioneering work of Fama, Fisher, Jensen, and Roll (1969). Their benchmark approach examines whether or not the stochastic behavior of firms' market‐conditional returns is significantly affected by some specific event like an earnings announcement, CEO's death, or brokerage house recommendation.
Citation
Hogan, S. (1996), "Covariance Analysis as an Alternative Event‐Study Methodology", Managerial Finance, Vol. 22 No. 3, pp. 54-61. https://doi.org/10.1108/eb018554
Publisher
:MCB UP Ltd
Copyright © 1996, MCB UP Limited