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H. Levy, Yoram Kroll (1979)
Efficiency Analysis with Borrowing and Lending: Criteria and Their EffectivenessThe Review of Economics and Statistics, 61
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Stochastic Dominance: An Approach to Decision Making Under Risk
In this study, the performance of cross-sectional stochastic dominance (SD), first proposed by Falk and Levy (FL) (1989), is compared with three traditional event study methodologies: the Mean Adjusted model, the Market Adjusted model, and the Market and Risk Adjusted Returns model. The comparison technique we use is a simulations approach similar to that of Brown and Warner (BW) (1980). BW show that the Mean Adjusted and Market Adjusted Returns models perform as well as the more sophisticated Market and Risk Adjusted Returns model. FL, however, provide a very compelling argument against the three traditional event study methodologies. The problem, they note, is not the theoretical need for risk adjustment; it is the definition and measurement of risk. FL assert that the observed abnormal returns (or lack thereof) may be due to omitted variables, a market proxy effect, or other specification errors in implementing the traditional event study methodologies.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Oct 15, 2004
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