Uniformly least powerful tests of market efficiency

By Tim Loughran, J. R. Ritter. 2000

262 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/35c90e9614908601a29013656ef864d62c19440b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. M. Cao
2. Igor Filatotchev
3. Allan C. Eberhart
4. Tarun Chordia
5. Christa H. S. Bouwman
6. Øyvind Norli
7. B. Espen Eckbo
8. Akhtar Siddique

In Finance

1. Allan C. Eberhart
2. Akhtar Siddique
3. J. J. Po-An Hsieh
4. Igor Filatotchev
5. Jarrad Harford
6. M. Cao
7. Salim Chahine
8. B. Espen Eckbo

Citations in the corpus

• Are IPOs Underpriced (2002, unknown): “On the other hand, it suffers from low power to reject the null of no abnormal returns (see Barber and Lyon (1997) and Loughran and Ritter (2000)).”
• The Effects of Information Disclosure and Board Independence on IPO Discount** (2008, result): “…effect of information disclosure on IPO 2Due to the presence of some IPO firms with high aftermarket performance, our analysis also indicates a positive buy-and-hold abnormal return (BHAR) in France, which is in contrast with prior results in Loughran and Ritter (2000) in the U.S. IPO market.”
• The Nature and Persistence of Buyback Anomalies (2009, background): “First, as pointed out by Loughran and Ritter (2000) valueweighting decreases the power to identify abnormal returns, as it is less likely that large companies repurchase stock because they are undervalued.”
• The aftermarket performance of initial public offerings in Canada (2004, unknown): “Loughran and Ritter (1998) point out that the choice of the weighting scheme is also important due to power considerations.”
• Market Valuation and Acquisition Quality: Empirical Evidence (2009, methodology): “Loughran and Ritter (2000) argue that since different methods have different powers of detecting abnormal performance, there should be differences in abnormal return estimates across different methodologies.”
• Is the Abnormal Return Following Equity Issuances Anomalous (2000, unknown): “SEO "rms’ abnormal returns, the Loughran and Ritter (1999) critique that weighting time periods equally reduces the power of tests of no underperformance does not apply here.”
• The long-run performance of mergers and acquisitions: Evidence from the Canadian Stock market (2004, unknown): “Sudarsanam and Mahate (2003) confirm this finding while Mitchell and Stafford (2000) find no evidence of a reliable differential performance.”