Ramesh Chandra, Shane Moriarity, G. Lee Willinger, A Reexamination of the Power of Alternative Return-Generating Models and the Effect of Accounting for Cross-Sectional Dependencies in Event Studies, Journal of Accounting Research, Vol. 28, No. 2 (Autumn, 1990), pp. 398-408
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Chandra et al. (1990) studied this question.
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