Abnormal Returns Measurement and Hypotheses Development
Abnormal stock returns are in the focus of many different research questions. There is, however, an extensive debate in the literature on how abnormal returns should be estimated. This section critically reviews this debate and provides a rationale for the approach as applied in this work. A reader whose interest in methodological issues is limited might want to continue with Section 4.2. In short, the approach used in this work is a calendar-time approach where monthly expected portfolio returns are described by an asset pricing model.
KeywordsAbnormal Return Information Risk Discretionary Accrual Asset Price Model Abnormal Performance
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