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Revenue data for non-public companies are available only at a very low frequency, based on financial reporting requirements. It would be impossible to have a long enough period to estimate the normal return in the first place, let alone detect the effect that an event on one single day will have on the annual revenues. Also, it would be very difficult to ...


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There are a couple of nice papers about the dot-com effect by Michael Cooper: full list, paper1, paper2



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