The benchmark effect in long-run event studies

DOI10.1007/PL00013362MaRDI QIDQ5953611zbMATH OpenOpenAlexFDO

Authors Olaf Ehrhardt, Ralf Koerstein

Publication date 1 August 2002

Published in OR Spektrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/pl00013362

zbMATH Keywords

expected return of individual securitieslong-horizon event studiesrandomly choosing stocksreference portfoliossize-effect

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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• Decomposing abnormal returns in stochastic linear models

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