Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings
Publication
, Journal Article
Brav, A
Published in: Journal of Finance
January 1, 2000
Statistical inference in long-horizon event studies has been hampered by the fact that abnormal returns are neither normally distributed nor independent. This study presents a new approach to inference that overcomes these difficulties and dominates other popular testing methods. I illustrate the use of the methodology by examining the long-horizon returns of initial public offerings (IPOs). I find that the Fama and French (1993) three-factor model is inconsistent with the observed long-horizon price performance of these IPOs, whereas a characteristic-based model cannot be rejected.
Duke Scholars
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Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 2000
Volume
55
Issue
5
Start / End Page
1979 / 2016
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
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Brav, A. (2000). Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings. Journal of Finance, 55(5), 1979–2016. https://doi.org/10.1111/0022-1082.00279
Brav, A. “Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings.” Journal of Finance 55, no. 5 (January 1, 2000): 1979–2016. https://doi.org/10.1111/0022-1082.00279.
Brav A. Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings. Journal of Finance. 2000 Jan 1;55(5):1979–2016.
Brav, A. “Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings.” Journal of Finance, vol. 55, no. 5, Jan. 2000, pp. 1979–2016. Scopus, doi:10.1111/0022-1082.00279.
Brav A. Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings. Journal of Finance. 2000 Jan 1;55(5):1979–2016.
Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 2000
Volume
55
Issue
5
Start / End Page
1979 / 2016
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment