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dc.contributor.authorStephen J., Brown-
dc.contributor.authorRoss, Stephen A.-
dc.date.accessioned2008-05-29T14:42:43Z-
dc.date.available2008-05-29T14:42:43Z-
dc.date.issued1997-02-25-
dc.identifier.urihttp://hdl.handle.net/2451/26969-
dc.description.abstractBrown, Goetzmann and Ross (1995) document that ex-post conditioning can significantly bias empirical results based on observed rates of return. These results have interesting implications for cross-sectional cumulated excess return measures [CAR’s] that are commonly used in the context of event studies (see Brown and Warner, 1981). Ball and Brown [1968] note an upward drift in cumulated excess returns subsequent to a positive earnings announcement surprise. Subsequent work by Foster [1977] and Foster et al [1984] among others has documented that this drift is related to size of the firm in question. The current state of this literature is summarized in Ball [1992].en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-96-019en
dc.titlePost-Announcement Driften
dc.typeWorking Paperen
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