Endogenous events and long-run returns
Publication
, Journal Article
Viswanathan, S; Wei, B
Published in: Review of Financial Studies
April 1, 2008
We analyze event abnormal returns when returns predict events. In fixed samples, we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided that the process of the number of events is stationary. Nonstationarity in the process of the number of events is needed to generate a large negative bias. We present theory and simulations for the specific case of a lognormal model to characterize the magnitude of the small-sample bias. We illustrate the theory by analyzing long-term returns after initial public offerings (IPOs) and seasoned equity offerings (SEOs).
Duke Scholars
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Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
April 1, 2008
Volume
21
Issue
2
Start / End Page
855 / 888
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory
Citation
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MLA
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Viswanathan, S., & Wei, B. (2008). Endogenous events and long-run returns. Review of Financial Studies, 21(2), 855–888. https://doi.org/10.1093/rfs/hhm090
Viswanathan, S., and B. Wei. “Endogenous events and long-run returns.” Review of Financial Studies 21, no. 2 (April 1, 2008): 855–88. https://doi.org/10.1093/rfs/hhm090.
Viswanathan S, Wei B. Endogenous events and long-run returns. Review of Financial Studies. 2008 Apr 1;21(2):855–88.
Viswanathan, S., and B. Wei. “Endogenous events and long-run returns.” Review of Financial Studies, vol. 21, no. 2, Apr. 2008, pp. 855–88. Scopus, doi:10.1093/rfs/hhm090.
Viswanathan S, Wei B. Endogenous events and long-run returns. Review of Financial Studies. 2008 Apr 1;21(2):855–888.
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
April 1, 2008
Volume
21
Issue
2
Start / End Page
855 / 888
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory