The University of Utah, Vanderbilt University, and Tulane University, respectively. We wish to thank the participants at the finance workshops at Arizona State University, University of Arizona, Brigham Young University, University of Colorado-Boulder, University of Pittsburgh, Rutgers University, University of South Florida, University of Texas-Austin, UCLA, University of Utah, Vanderbilt University, and VPI for their helpful comments. We especially wish to thank Yakov Amihud, Sanjai Bhagat, James Brickley, Judy Lease, David Mayers (editor), Michael Ryngaert, and an anonymous referee for their suggestions. Funding from the Freeman Institute at Tulane, the James M. Collins Professorship of Finance at SMU, and the Garn Institute of Finance at the University of Utah supported this research.
An Investigation of Market Microstructure Impacts on Event Study Returns
Version of Record online: 30 APR 2012
© 1991 the American Finance Association
The Journal of Finance
Volume 46, Issue 4, pages 1523–1536, September 1991
How to Cite
LEASE, R. C., MASULIS, R. W. and PAGE, J. R. (1991), An Investigation of Market Microstructure Impacts on Event Study Returns. The Journal of Finance, 46: 1523–1536. doi: 10.1111/j.1540-6261.1991.tb04629.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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