Implications of survival and data trimming for tests of market efficiency

By S. Kothari, Jowell S. Sabino, Tzachi Zach. 2005

125 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0eeea5a0bc3a4d7e9dbb7344d2290ffb66762dd8

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Citations in the corpus

Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model (2016, background): “[30] show that predictability can be due to non-random data deletion, especially in skewed distributions of longhorizon security returns.”
The Accrual Anomaly: International Evidence (2003, unknown): “However, we do not eliminate extreme observations since doing so can create the appearance of market inefficiency under certain conditions (Kothari et al. 2004).”
Fair-Value Pension Accounting (2007, methodology): “We replicate all our value-relevance analyses using ex post 17Existing research identifies several biases plaguing long-horizon tests of market efficiency (see Barber and Lyon, 1997; Kothari and Warner, 1997; Kothari et al., 2005).”
Delisting Returns and Their Effect on Accounting-Based Market Anomalies (2007, unknown): “The following papers provide brief explanations of the treatment of delisting returns that are very similar to Sloan (1996): Sun (2003), Kraft et al. (2006) and Dopuch et al.”
Influential Observations and Inference in Accounting Research (2019, unknown): “In contrast and as noted in Kothari et al. (2005), truncation based on extreme values of the dependent variable generates a downward bias in the estimated coefficients.”
Myopic Marketing Management: Evidence of the Phenomenon and Its Long-Term Performance Consequences in the SEO Context (2007, unknown): “, survival bias) have been advanced to explain what might appear to be anomalous returns (Kothari et al. 2005).”
Generic strategies and firm performance in SMEs: a longitudinal study of Austrian SMEs (2010, methodology): “Since the analysis of the turnover and employment growth rates showed extremely high values for some firms, we censored three extreme outliers with respect to employment and turnover growth and replaced their values with an average annual percentage growth rate of 20% (employment) and 30% (turnover)”