Event studies: A methodology review
CJ Corrado - Accounting & Finance, 2011 - Wiley Online Library
Originally developed as a statistical tool for empirical research in accounting and finance,
event studies have since migrated to other disciplines as well, including economics, history, …
event studies have since migrated to other disciplines as well, including economics, history, …
The specification and power of the sign test in event study hypothesis tests using daily stock returns
CJ Corrado, TL Zivney - Journal of Financial and Quantitative …, 1992 - cambridge.org
This paper evaluates a nonparametric sign test for abnormal security price performance in
event studies. The sign test statistic examined here does not require a symmetrical distribution …
event studies. The sign test statistic examined here does not require a symmetrical distribution …
A nonparametric test for abnormal security-price performance in event studies
CJ Corrado - Journal of financial economics, 1989 - Elsevier
This paper evaluates a new nonparametric rank test for abnormal security-price performance
in event studies. Simulations with daily security-return data show that the rank test is better …
in event studies. Simulations with daily security-return data show that the rank test is better …
Skewness and kurtosis in S&P 500 index returns implied by option prices
CJ Corrado, T Su - Journal of Financial research, 1996 - Wiley Online Library
The Black‐Scholes (1973) model frequently misprices deep‐in‐the‐money and deep‐out‐of‐the‐money
options. Practitioners popularly refer to these strike price biases as volatility …
options. Practitioners popularly refer to these strike price biases as volatility …
The forecast quality of CBOE implied volatility indexes
CJ Corrado, TW Miller, Jr - Journal of Futures Markets: Futures …, 2005 - Wiley Online Library
We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility
indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. …
indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. …
Conducting event studies with Asia-Pacific security market data
CJ Corrado, C Truong - Pacific-Basin finance journal, 2008 - Elsevier
We investigate the effectiveness of several well-known parametric and non-parametric
event study test statistics with security price data from the major Asia-Pacific security markets. …
event study test statistics with security price data from the major Asia-Pacific security markets. …
[PDF][PDF] Implied volatility skews and stock index skewness and kurtosis implied by S&P 500 index option prices
CJ Corrado, T Su - Journal of Derivatives, 1997 - smartquant.com
The Black-Scholes (1973) option pricing model is used to value a wide range of option
contracts. However, the model often inconsistently prices deep in-themoney and deep out-of-the-…
contracts. However, the model often inconsistently prices deep in-themoney and deep out-of-the-…
A note on a simple, accurate formula to compute implied standard deviations
CJ Corrado, TW Miller Jr - Journal of Banking & Finance, 1996 - Elsevier
We derive a simple, accurate formula to compute implied standard deviations for options
priced in the classic framework developed by Black and Scholes (1973) and Merton (1973). …
priced in the classic framework developed by Black and Scholes (1973) and Merton (1973). …
Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
CJ Corrado, T Su - The European Journal of Finance, 1997 - Taylor & Francis
The Black-Scholes* option pricing model is commonly applied to value a wide range of option
contracts. However, the model often inconsistently prices deep in-the-money and deep out…
contracts. However, the model often inconsistently prices deep in-the-money and deep out…
[PDF][PDF] S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
CJ Corrado, T Su - Journal of Futures Markets: Futures, Options …, 1996 - researchgate.net
… Please direct correspondence to Charles J. Corrado, 2 14 Middlebush Hall, University of
Missouri, Columbia, MO 652 1 1, (573) 882-5390. … Corrado and Su …
Missouri, Columbia, MO 652 1 1, (573) 882-5390. … Corrado and Su …