18 Pages Posted: 7 Nov 2008
Date Written: February 1997
Brown, Goetzmann and Ross (1995) document that ex-post conditioning can significantly bias empirical results based on observed rates of return. These results have interesting implications for cross-sectional cumulated excess return measures [CAR s] that are commonly used in the context of event studies (see Brown and Warner, 1981). Ball and Brown  note an upward drift in cumulated excess returns subsequent to a positive earnings announcement surprise. Subsequent work by Foster  and Foster et al  among others has documented that this drift is related to size of the firm in question. The current state of this literature is summarized in Ball .
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