caa a22 4500 386308950 CHVBK 20180307111538.0 cr unu---uuuuu 161130e198803 xx s 000 0 eng 10.2307/2331025 doi S002210900001293X pii (NATIONALLICENCE)cambridge-10.2307/2331025 Measuring Event Impacts in Thinly Traded Stocks [Elektronische Daten] The purpose of this paper is to suggest simple procedures designed to cope with the effects of thin trading on event study tests. The procedures are directed at two central problems: (i) missing individual stock returns (i.e., days on which no trading is observed in a security), and (ii) the effect of a bid-ask spread on the time series behavior of daily stock return data. We attack these problems by explicitly incorporating them in the construction of a generating process for observed security returns. First, we develop a procedure for "filling in” missing returns. Then, we model a return-generating process of observed security returns that allows estimation of the variance of unobserved true security returns for use in hypothesis testing. Copyright © School of Business Administration, University of Washington 1988 Heinkel Robert Kraus Alan Journal of Financial and Quantitative Analysis Cambridge University Press 23/1(1988-03), 71-88 0022-1090 23:1<71 1988 23 JFQ https://doi.org/10.2307/2331025 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331025 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Heinkel Robert NATIONALLICENCE 700 1- Kraus Alan NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/1(1988-03), 71-88 0022-1090 23:1<71 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge