Improved calendar time approach for measuring long-run anomalies

Artikel

Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this paper, we show that a recently introduced calendar time methodology, known as Standardized Calendar Time Approach (SCTA), controls well for heteroscedasticity problem which occurs in calendar time methodology due to varying portfolio compositions. In addition, we document that SCTA has higher power than the BHAR methodology and the Fama-French three-factor model while detecting the long-run abnormal stock returns. Moreover, when investigating the long-term performance of Canadian initial public offerings, we report that the market period (i.e. the hot and cold period markets) does not have any significant impact on calendar time abnormal returns based on SCTA.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 3 ; Year: 2015 ; Issue: 1 ; Pages: 1-14 ; Abingdon: Taylor & Francis

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: long-run anomalies ; standardized abnormal returns ; test specification ; power of test

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Dutta, Anupam
• Ereignis: Veröffentlichung
• (wer): Taylor & Francis
• (wo): Abingdon
• (wann): 2015

Weitere Informationen

• DOI: doi:10.1080/23322039.2015.1065948
• Handle: http://hdl.handle.net/10419/147767
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ