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Cited by 991

The DOI matches its Crossref record; 37 of the 37 references it cites were found in a registry or an index.

Measuring long-horizon security price performance

Open access
Kothari, S.P., Warner, Jerold B.·1997·Journal of Financial Economics
DOI 10.1016/s0304-405x(96)00899-9
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Abstract

Our simulation results show that tests for long-horizon (i.e.. multi-year) abnormal security returns around firm-specific events are severely misspecified. The rejection frequencies using parametric tests sometimes exceed 30% when the significance level of the test is 5%. Our results are robust to many different abnormal-return models. Conclusions from long-horizon studies require extreme caution. Nonparametric and bootstrap tests are likely to reduce misspecification.

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Metadata

Authors
Kothari, S. P., & Warner, J. B.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
1997-03
Volume
43
Issue
3
Pages
301-339
ISSN
0304-405X (ISSN-L)
DOI
10.1016/s0304-405x(96)00899-9
OpenAlex
W2131456352
Cited by
991
References
37
FWCI
75.07
Type
journal article
Language
en
Open access
hybrid

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CoChat. (2026). Citation check: Measuring long-horizon security price performance. https://app.cochat.ai/papers/10.1016/s0304-405x(96)00899-9
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Kothari, S. P., & Warner, J. B. (1997). Measuring long-horizon security price performance. Journal of Financial Economics. https://doi.org/10.1016/s0304-405x(96)00899-9

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.