Abnormal expected utility and event study abnormal returns

Haim Levy*, Deborah Gunthorpe

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

Event study is employed by measuring the abnormal return around the event date. If risk changes this methodology is questionable. We suggest the concept of abnormal expect utility which relies on the whole distribution and not just the mean return.

Original languageEnglish
Pages (from-to)175-180
Number of pages6
JournalEconomics Letters
Volume44
Issue number1-2
DOIs
StatePublished - 1994

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