Measuring security price performance using daily NASDAQ returns

Campbell, Cynthia J.; Wesley, Charles E.

doi:10.1016/0304-405x(93)90025-7

Cited by 213 publications

(129 citation statements)

References 7 publications

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“…The most successful among these tests were the nonparametric sign and rank tests advanced in Corrado (1989), Zivney and Thompson (1989), and Corrado and Zivney (1992). Well-known studies of this type are Cowan (1992), Campbell andWasley (1993, 1996), and Corrado and Truong (2008). Each of these studies documents that sign and rank tests provide better specification and power than parametric tests.…”

Section: Event Study Testsmentioning

confidence: 99%

“…Unfortunately, this procedure is not very effective, because the number of observations quickly becomes impracticably small as the CAR-period lengthens and the resultant loss of observations weakens the abnormal return model estimation. Cowan (1992) and Campbell and Wasley (1993) conduct Corrado's rank test for testing cumulative abnormal returns by simply accumulating daily ranks of abnormal returns within the CAR-period. Like the multi-day approach, cumulated ranks approach also has potential shortcomings.…”

Section: Recent Developments In Non-parametric Event Study Testsmentioning

confidence: 99%

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Parametric and Nonparametric Event Study Tests: A Review

Dutta¹

2014

IBR

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This paper presents a modest attempt to review the existing methodologies for measuring short-run abnormal performance of firms following certain corporate events. In doing so, the study discusses different parametric as well as nonparametric testing procedures available in the literature. Reviewing the prior literature reveals that the nonparametric sign and rank tests are better specified than parametric procedures. However, in case of detecting the short-run anomalies, we document that nonparametric tests have higher power relative to standard parametric approaches.

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Section: Event Study Testsmentioning

confidence: 99%

Section: Recent Developments In Non-parametric Event Study Testsmentioning

confidence: 99%

Parametric and Nonparametric Event Study Tests: A Review

Dutta¹

2014

IBR

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“…There is considerable variation in the measures of abnormal returns and the statistical tests that empirical researchers use to detect long-run abnormal stock returns. While Warner (1980, 1985), Dyckman, Philbrick, Stephan, and Ricks (1984), and Campbell and Wasley (1993) all document the empirical specification and power of test statistics designed to detect abnormal stock returns, these studies focus on the characteristics of abnormal returns measured on a particular day or, at the most~ cumulated over several months. In contrast, our research documents the empirical power and specification of test statistics designed to detect long-run abnormal stock returns.…”

Section: Introductionmentioning

confidence: 99%

Detecting long-run abnormal stock returns: The empirical power and specification of test statistics

Barber

Lyon

1997

Journal of Financial Economics

2,363

1,809

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We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one-to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified (empirical rejection rates exceed theoretical rejection rates) and identify three reasons for this misspecification. We correct for the three identified sources of misspecification by matching sample firms to control firms of similar sizes and book-to-market ratios. This control firm approach yields well-specified test statistics in virtually all sampling situations considered.

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“…There is no general agreement as to what can increase an employee's commitment to the organisation. Most behavioural learning theorist agreed on this point (see Haleblian, and Finkelstein, 1999;Campbell, and Wasley 1993;Puffer, and Weintrop 1991). Most of the conceptualization of commitment used in most of the American studies reflects more of managerialist and unitarist outlook (Guest, 2000).…”

Section: Introductionmentioning

confidence: 99%

Enhancing Employees’ Commitment to Organisation through Training

Owoyemi¹,

Oyelere²,

Elegbede³

et al. 2011

IJBM

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The role of training in human resource management practice has spur renewed and vigorous debate about the need for training and development. The debate has led academics and management to ponder on some issues germane to the benefits or otherwise of training. Is training an investment in people or cost? If training is required, what are the criterion used to determine who should be trained and when to train? These questions have permeated management circle and those in HRM department. Recent years have seen training terms renamed as training and development or learning and development, a sign of the spate of debate on the issue. Given these flurry, this paper explores the relationship between training and employees' commitment to their organisation. The paper was based on a survey of 250 employees and management staff of a financial firm based in the South Western part of Nigeria. Statistical Package for the Social Sciences (SPSS) was used to conduct several forms of analysis. The analysis revealed some evidence that suggest a positive statistical significant relationship between the different levels of training and employees' commitment to organisation. A regression analysis was conducted on the data collected. The study revealed a positive statistical significant relationship between the different levels of training and employees' commitment to the organisation. The paper concludes that the more the training giving to employees, the higher their level commitment to the organisation.

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Measuring security price performance using daily NASDAQ returns

Cited by 213 publications

References 7 publications

Parametric and Nonparametric Event Study Tests: A Review

Parametric and Nonparametric Event Study Tests: A Review

Detecting long-run abnormal stock returns: The empirical power and specification of test statistics

Enhancing Employees’ Commitment to Organisation through Training

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