Questions tagged [abnormal-returns]

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Matching periodicity Fama-French Factors, Portfolio Return and Risk Free rate

I am trying to replicate certain aspects of the following paper: "Does the stock market fully value intangibles? Employee satisfaction and equity prices" - Alex Edmans (2011) for three ...
atairsaw's user avatar
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Should I include factor loadings as explanatory variables for regression of abnormal and raw returns?

My research is to explain stock returns in a regression model. My dependent variable is raw returns and abnormal returns calculated from 3-factor model (Fama and French). Besides regressing against my ...
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State-of-the art factor models for intraday event studies

I want to do intraday event studies. For this purpose, I have stock data on a 15 minutes interval. What is/are currently the state-of-the art factor model(s) for calculating intraday (ab)normal ...
MiFischer22's user avatar
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Why is it that returns at the efficient market hypothesis has to be risk-adjusted?

Let us assume the following situation: Average market return: $R_M = 8\%$ Risk-free rate: $R_F = 2\%$ Actual return of share A after one year: $R_{A} = 15\%$ Actual return of share B after one year: $...
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Running regression to analyse how leverage changes around

I am running a single variable regression with BHAR returns as independent variable and Leverage as dependent variable. I would like to analyse does the leverage 1 year prior to IPO and 1 year after ...
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Negative abnormal stock return and permanent impact

Assume we have a day where stock price falls many standard deviations of the mean (e.g >3) . How could we test, in terms of time-series, if this negative shock is permanent or deminishes in the long ...
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Generate P Value from stationary bootstrap following Politis & Romano (1994)

For my master thesis I am analyzing the performance of trading strategies. For this I need to avoid data snooping by utilising the FDR approach. I follow closely the procedure presented by Bajgrowicz &...
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Factors affecting magnitude of responsiveness to acquisition announcements?

I have a dataset of stock returns immediately following rumors of or confirmations of acquisitions. It is clear that either the stock does not react, or the stock experiences a strong positive return ...
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How to Risk and Return using Carhart 4 factor model

I have to calculate firm risk and return for a group of firms. I have firm CUSIPs. I also have access to CRSP data from WRDS. Can someone explain to me how I can use CRSP and data from Ken French’s ...
user3398876's user avatar