Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147767
Authors: 
Dutta, Anupam
Year of Publication: 
2015
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 3 [Year:] 2015 [Issue:] 1 [Pages:] 1-14
Abstract: 
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.
Subjects: 
long-run anomalies
standardized abnormal returns
test specification
power of test
JEL: 
C1
G1
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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