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Applied Financial Economics Volume 21, 2011 - Issue 6
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Original Articles

Treating cross-dependence in event studies: the Canadian income trust leak

K. G. Stewart Department of Economics, University of Victoria, Victoria, British Columbia V8W 2Y2, CanadaCorrespondence[email protected]
&
L. Zheng Department of Economics, University of Alberta, Edmonton, Alberta T6G 2R3, Canada
Pages 369-377 | Published online: 17 Jan 2011

References

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  • Bernard , VL . 1987 . Cross-sectional dependence and problems in inference in market-based accounting research . Journal of Accounting Research , 25 : 1 – 48 .
  • Binder , JJ . 1998 . The event study methodology since 1969 . Review of Quantitative Finance and Accounting , 11 : 111 – 37 .
  • Brown , S and Warner , J . 1980 . Measuring security price performance . Journal of Financial Economics , 8 : 205 – 58 .
  • Brown , S and Warner , J . 1985 . Using daily stock returns: the case of event studies . Journal of Financial Economics , 14 : 3 – 31 .
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  • Collins , D and Dent , W . 1984 . A comparison of alternative testing methodologies used in capital market research . Journal of Accounting Research , 22 : 48 – 84 .
  • King , MR . 2003 . Income trusts – understanding the issues Working Paper No. 2003-25, Bank of Canada, Ottawa
  • Kothari , SP and Warner , JB . 2007 . “ Econometrics of event studies ” . In Handbook of Corporate Finance, Vol. 1 , Edited by: Eckbo , BE . Vol. 1 , 3 – 36 . Amsterdam : Elsevier .
  • MacKinlay , C . 1997 . Event studies in economics and finance . Journal of Economic Literature , 35 : 13 – 39 .
  • Mintz , JM . 2006 . Policy forum: income trust conversions – estimated federal and provincial revenue effects . Canadian Tax Journal , 54 : 687 – 90 .
  • Mitchell , ML and Stafford , E . 2000 . Managerial decisions and long term stock price performance . Journal of Business , 73 : 287 – 329 .
  • Seaks , TG . 1990 . The computation of test statistics for multivariate regression models in event studies . Economics Letters , 33 : 141 – 5 .
  • Stewart , KG . 1997 . Exact testing in multivariate regression . Econometric Reviews , 16 : 321 – 52 .
  • Theil , H . 1971 . Principles of Econometrics , New York : Wiley .

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