Replicate the analysis of the event study in Applied Financial Economics, 2011

Data Files

The paper analyzes alternative returns series that both include and omit dividends:

Without dividends

With dividends

TSP command files

The paper uses both the constant expected return model and the market model to treat normal returns:

Constant expected return model, without dividends

Constant expected return model, with dividends

Market model, without dividends

Market model, with dividends


Return to Personal Homepage

Return to Department Web Page

Revised September 2011