In this paper we discuss a way to construct a strategy of betting that can generate abnormal returns in horse race betting markets. Using the theory of discrete choice models and Generalised Additive Models one can build a model to predict the probability of a given horse winning a given race. The paper further discusses the Kelly betting system as a way of exploiting estimates of winning proba...

III. EVENT STUDIES ......................................................................................................................... 138 A. Methodology .............................................................................................................. 138 B. Identifying the Announcement Day (Event Window) ................................................ 140 C. Measuring Retur...

In this paper, I describe some of the main parametric and non-parametric tests used in event studies to assess the significance of abnormal returns or changes in variance of returns.

We report simulations of abnormal buy-and-hold stock return tests. Using benchmark portfolios purged of new-listings and rebalancing biases, we find severe misspecification of parametric tests, due in part to skewness. We document a negative relation between skewness bias and sample size, and an overlapping-horizons bias. Both biases become more severe as the holding period lengthens. The biase...

This paper examines the stock market reactions to US biotech firms’ innovation news announcements during 1983-1993. Besides the positive abnormal returns observed during the announcement period, the paper identifies a medium-horizon negative drift in the stock price subsequent to firms’ innovative events. The observed negative drift is robust to the benchmarks and procedures used in calculating...

The initial thrust of this research (Thompson 1995) was an event study that dealt with shareholder reaction to the announcement of a merger of two bank holding companies (BHC). It was found that positive abnormal returns accrue to the shareholders of the acquired firm. The abnormal returns to the shareholders of the acquiring firm are either negative or zero and are stock exchange dependent. Th...

This study investigates the market value impacts of IT-enabled supply chain systems using event study method. The authors examine abnormal stock returns to investments in IT-enabled SCM systems announced by 346 firms from 2001 to 2004, and find significant, positive abnormal returns for two, three, and five day periods surrounding the event date. Further, the authors employ organizational integ...