Rational Expectations
Market Efficiency
- Abarbanell J. S., V. L. Bernard, (1992), “Tests of Analysts’ Overreaction / Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior”, The Journal of Finance Vol. 47 (3).
- Angelini P., G. Guazzarotti, (2009), “Information uncertainty and the reaction of stock prices to news”, Bank of Italy, Research department.
- Atiase R. e Bamber L., (1992), “Trading volume reactions to annual accounting earnings announcement”, Journal of Accounting and Economics Vol. 17 (3).
- Brennan M. J., N. Jagadeesh, B. Swaminathan, (1993), “Investment Analysis and the Adjustment of Stock Prices to Common Information” , The Review of Financial Studies Vol. 6 (4).
- Brown B. W., S. Maital, (1981), “What Do Economists Know? An Empirical Study of Experts’ Expectations”, Econometrica Vol. 49(2).
- Chen Q., W. Jiang, (2005), “Analysts’ Weighting of Private and Public Information”, The Review of Financial Studies Vol 19 (1).
- Conlisk J., (1996), “Why Bounded Rationality?”, Journal of Economics Literature Vol. 34 (2).
- Copeland T., (1976), “A model of asset trading under the assumption of sequential information arrival”, The Journal of Finance, Vol. 31 (4).
- De Bondt F.M., R. Thaler, (1985), “Does the Stock Market Overreact?”, The Journal of Finance Vol. 40 (3).
- Dimson E., M. Mussavian, (2000), “Market Efficiency”, The Current State Of Business Disciplines Vol. 3.
- Fama E., (1969), “Efficient Capital Market: A Review of Theory and Empirical Work”, The Journal of Finance Vol 25. (2).
- Fama E., (1998), “Market Efficiency, Long-Term Returns and Behavioral Finance”, Journal of Financial Economics Vol. 49.
- Fama. E., (1965), “Random Walks in Stock Market Prices”, Financial Analyst Journal Vol.21 (5).
- Grossman S. J., J. E. Stiglitz, (1980), “On the Impossibility of Informationally Efficient Markets”, The American Economic Review Vol. 70 (3).
- Grossman S., (1976), “On the Efficiency Of Competitive Stock Markets Where Trades Have Diverse Information”, The Journal of Finance, Vol. 31 (2).
- Jensen M., (1978), “Some Anomalous Evidence Regarding Market Efficiency”, Journal of Financial Economics Vol. 6 (2).
- King B. F., (1966), “Market and Industry Factors in Stock Price Behavior”, The Journal of Business Vol. 39 (1).
- Litner J., (1981), “Are Markets Efficient? Tests for Alternative Hypothesis: Discussion”, The Journal of Finance Vol. 36 (2).
- Loughran T., Ritter J. R., (1999), “Uniformly Least Powerful Tests of Market Efficiency”, Journal of Financial Economics.
- Pesaran M. H., (2010), “Predictability of Asset Returns and the Efficient Market Hypothesis”, IZA Discussion Paper n.5037.
Analysts'Forecasts, Market Efficiency and Corporate Social Responsibility
Market Model and Multi-Factor Model
- Griffin,J.M.,(2002),"Are the Fama and French Factors Global or Country Specific",The Review of Financial Studies, Vol.15-3.
- Moerman,G.A., (2005), "How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area",ERIM Report Series.
Event Study
- Acharya, S., (1993),"Value of Latent Information: Alternative Event Study Methods", The Journal of Finance Vol. 48-1.
- Ajinkya B. e Jain C., (1989), “The behavior of daily stock market trading volume”, Journal of Accounting and Economics Vol. 11 (4).
- Bajo E., (2010), “The information content of abnormal trading volume”, Journal of Business Finance e Accounting Vol.37 (7-8).
- Bhattacharya,U.,Hazem,D.,Jorgenson,B., Kehr,C.H.,(1998), "When an Event is not an Event: The Curious Case of an Emerging Market", Journal of Financial Economics Vol.55.
- Binder J.J., (1998), "The Event Study Methodology Since 1969", Review of Quantitative Finance and Accounting Vol. 11.
- Bos T., P. Newbod, (1984), “An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model ”, The Journal of Business 57(1).
- Brockett, P., Chen, H.M., Garven, J.R., (1994),"Event Study Methodology: A New and Stochastically Flexible Approach",Working Paper Series.
- Brockett, P., Chen, H.M., Garven, J.R., (1999)," A New and Stochastically Flexible Event Methodology with application to Proposition 103",Insurance: Mathematics and Economics Vol. 25.
- Brown J., J.B. Warner, (1980), “Measuring Security Price Performance”, Journal of Financial Economics Vol. 8.
- Brown S., J.B.Warner , (1985), "Using Daily Stock Return", Journal of Financial Economics Vol.14.
- Campbell C. e Wasley C., (1996), “Measuring abnormal daily trading volume for sample of NYSE/ASE and NASDAQ Securities using parametrics and nonparametrics test statistics”, Review of Quantitative Finance and Accounting, Vol. 6.
- Campbell C. J., C. Wasley, (1993), “Measuring Security Price Performance Using daily NASDAQ Returns ”, Journal of Financial Economics Vol.33 (1).
- Chen X., E. Ghysels, (2011), “News- good or bad- and its impact on volatility predictions over multiple horizons”.Review of Financial Studies Vol. 24 (1).
- Corrado C.J., (2011), "Event Studies: A Methodology Review", Working Paper Series.
- De Jong, F., Kemma, A., Kloen,T., (1992), "A contribution to event study methodology with an application to the Dutch stock market", Journal of Banking and Finance Vol.16.
- Fama E., L. Fisher , M.C. Jensen, R. Roll , (1969), "The Adjustment Of Stock Prices To New Information", International Economic Review Vol. 10.
- Fernando C.S., A. D. May, W.L. Megginson, (2011)," The Value of Investment Banking Relationships: Evidence from the Collapse of Lehman Brothers ", Forthcoming Journal of FInance.
- Giaccotto C., M. M. Ali, (1982), “Optimum Distribution-Free Tests and Further Evidence of Heteroskedasticity in the Market Model”, The Journal of Finance Vol. 37 (5).
- Henderson G.V. Jr., "Problems and Solutions in Conducting Event Studies" - Invited Articles, The Journal of Risk and Insurance Vol. 57 (2).
- Hughes,J., Liu,J., Su,W.,(2006), "On the Relation between Predictable Market Returns and Predictable Analyst Forecast Errors",Working Paper Series.
- Karafiath I., (1994) “On the Efficiency of Least Squares Regression with Security Abnormal Returns as the Dependent Variable”. The Journal of Financial and Quantitative Analysis Vol. 29 (2).
- Khotari S. P, J. B. Warner, (2006), “Econometrics of Event Studies”, Handbook of Corporate Finance: Empirical Corporate Finance, Vol. A Ch. 1, 2006.
- Kolari J., S. Pynnonen, (2004), “Event-Study Methodology: Correction for Cross-Sectional Correlation in Standardized Abnormal Return Tests”, The Review of FInancial Studies Vol 23 (11).
- Kramer, L., (2000), "Alternative Methods for Robust Analysis in Event Study Applications", Working Paper Series.
- MacKinlay A. C.,( 1997), "Event Studies in Economics and Finance", Journal of Economic Literature, Vol. 35.
- Prabhala N.R.,(1997), "Conditional Methods in Event Studies and Equilibrium Justification for Standard Event-Study Procedures", Review of Financial Studies Vol. 10 (1).
- Pynnonen S., (2005), “On Regression Based Event Study”, Contributions to Accounting, Finance, and Management Science. Essays in Honor of Professor Timo Salmi. Acta Wasaensia Vol. 143.
- Salinger M., (1992), "Standard Errors in Event Studies", Journal of Financial and Quantitative Analysis Vol. 27 (1).
- Salinger M., (1992), "Value Event Study", The Review of Economics and Statistics Vol. 74 (4).
- Schipper K., R. Thompson, (1983), “The Impact of Merger-Related Regulations on the Shareholders of Acquiring Firms”, Journal of Accounting Research Vol.21 (1).
- Schipper K., R. Thompson, (1985), “The Impact of Merger-Related Regulations Using Exact Distributions of Test Statistics”, Journal of Accounting Research Vol.23 (1).
- Sefcik S. E., R. Thompson, (1986), “An Approach to Statistical Inference in Cross-Sectional Models with Security Abnormal”, Journal of Accounting Research Vol.24 (2).
- Serra A.P., (2002), "Event Study Test -A Brief Survey -", Working Papers from FEP n.117.
Corporate Social Responsibility and Event Study
- Becchetti L., R. Ciciretti, "Stock Market Reaction to the Global Financial Crisis: testing for the Lehman Brothers' Event," , in SIRP Working Paper Series 11-03.
- Becchetti L., R. Ciciretti, H. Iftekhar,N. Kobeissi,(2011),"Corporate Social Responsability and Shareholder's Value"", Journal of Business Research.
Parametric Test
- Patell J., (1976), “Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test”, Journal of Accounting Research Vol. 14.
- Boehemer E., J. Musumeci, A. B. Poulsen, (1991), “Event-Study methodology under condition of event-induced variance”, Journal of Financial Economics Vol. 31.
Non Parametric Test
- Corrado C., (1989)," A Non-Parametric Test For Abnormal Security-Price Performance Event Studies", in Journal of Financial Economics, Vol. 23.
- Corrado C., T.L. Zivney, (1992), "The Specification and Power of the Sign Test in Event Studies Hypothesis Test Using Daily Stock Returns", The Journal of Quantitative Analysis, Vol. 27(3).
- Cowan A.R., (1992), "Non-Parametric Event Study Tests", in Review of Quantitative Finance and Accounting, Vol. 2 (4).
- Kolari J., Pynnonen S., (2010),"Event Study Testing with Cross-Sectional Correlation of Abnormal Returns", Review of Financial Studies Vol.23 (11).
- Kolari J., S. Pynnonen (2004) “Event-Study Methodology: Correction for Cross-Sectional Correlation in Standardized Abnormal Return Tests”, mimeo.
- Kolari J., S. Pynnonen (2010) “Nonparametric Rank Test for Event Studies”, Working Paper Series.
- Wilcoxon F., (1945), “Individual Comparisons by Ranking Methods”, Biometrics Bulletin 1.
Books
- Brandimarte, P.,(2006),"Numerical Methods in Finance and Economics: a MatLab - based Introduction, II edition John Wiley & Sons.
- Campbell C. J. , A. Lo, A. G. MacKinlay, (1997), “The Econometrics of Financial Markets”, Pricestone: Princestone University press.
- Ciciretti R., M. Iori, U. Trenta, (2009), "Eventi e News nei Mercati Finanziari", G.Giappichelli Editore Torino.
- Elton E. J., M.J. Gruber, S. J. Brown, W.N. Goetzmann, (2007)," Modern Portfolio Theory and Investment Analysis", 7th Edition Wiley Phoenix.
- Lehmann E.L., (2006), "Nonparametrics: Statistical Methods Based on Ranks", first edition Springer Business Media LLC New York.
