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- W2033793903 abstract "With enhancements in information technology, increased institutional and automated trading, and previously unmatched availability of online trading grew the attention to intraday movements of security prices and tests associated with them. This study analyses the properties of both observed 5-minute stock returns and of excess returns obtained by using a variety of alternative models common to event studies. Using observed 5-minute returns, various event study methodologies are simulated and repeatedly applied to samples which have been created by random selection of securities and random assignment of event dates to each security. The study examines the probability of rejecting the null hypothesis of no average abnormal performance when it is true and the probability of detecting a given abnormal performance, which is introduced to the data at the randomly selected event dates." @default.
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- W2033793903 date "2008-10-01" @default.
- W2033793903 modified "2023-09-26" @default.
- W2033793903 title "Intraday stock returns and performance of a simple market model" @default.
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- W2033793903 doi "https://doi.org/10.1080/09603100701720294" @default.
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