the market is inefficient, as he thought that the events are irrelevant to the wealth of
shareholders. Charest’s (1978a, 1978b) viewpoint is reversed in the successive
research, such as in Brown and Warner (1985) and Campbell et al (1997)’s studies.
They pointed out that because the announcement conveys information, the stock
prices should reflect the announcement instantly at the event date with the
abnormal returns being significantly different from zero. Brown and Warner
(1985) developed the t-test on CARs in intervals, and this was later formulated in
matrix expression by Campbell et al (1997). They argu ...
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