Improved calendar time approach for measuring long-run anomalies
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 methodo...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2015-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2015.1065948 |
| _version_ | 1818931996894691328 |
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| author | Anupam Dutta |
| author_facet | Anupam Dutta |
| author_sort | Anupam Dutta |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-20T04:25:28Z |
| format | Article |
| id | doaj.art-1a37e2d31c4d4021a2ba330380202865 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-12-20T04:25:28Z |
| publishDate | 2015-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-1a37e2d31c4d4021a2ba3303802028652022-12-21T19:53:31ZengTaylor & Francis GroupCogent Economics & Finance2332-20392015-12-013110.1080/23322039.2015.10659481065948Improved calendar time approach for measuring long-run anomaliesAnupam Dutta0University of VaasaAlthough 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.http://dx.doi.org/10.1080/23322039.2015.1065948long-run anomaliesstandardized abnormal returnstest specificationpower of test |
| spellingShingle | Anupam Dutta Improved calendar time approach for measuring long-run anomalies Cogent Economics & Finance long-run anomalies standardized abnormal returns test specification power of test |
| title | Improved calendar time approach for measuring long-run anomalies |
| title_full | Improved calendar time approach for measuring long-run anomalies |
| title_fullStr | Improved calendar time approach for measuring long-run anomalies |
| title_full_unstemmed | Improved calendar time approach for measuring long-run anomalies |
| title_short | Improved calendar time approach for measuring long-run anomalies |
| title_sort | improved calendar time approach for measuring long run anomalies |
| topic | long-run anomalies standardized abnormal returns test specification power of test |
| url | http://dx.doi.org/10.1080/23322039.2015.1065948 |
| work_keys_str_mv | AT anupamdutta improvedcalendartimeapproachformeasuringlongrunanomalies |