In the text it was noted that the BHAR approach in long-run event studies is vulnerable to

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In the text it was noted that the BHAR approach in long-run event studies is vulnerable to cross-sectional correlation. Is it vulnerable to autocorrelation or heteroskedasticity of the returns too?

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Investment Valuation And Asset Pricing Models And Methods

ISBN: 9783031167836

1st Edition

Authors: James W. Kolari, Seppo Pynnönen

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Question Posted: Mar 05, 2024 06:00 AM

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In the text it was noted that the BHAR approach in long-run event studies is vulnerable to

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In longrun event studies the BuyandHold Abnormal Returns BHAR approach is indeed vulnerable to various statistical issues including crosssectional cor...View the full answer

Investment Valuation And Asset Pricing Models And Methods

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