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Index
Ansley, Craig 108
arbitrage portfolio 19, 151
Arshadi, Nasser 19
ask and bid prices 90
AUTODATE option 20, 86, 96, 145
with weekly returns 16
Balachandran, Bala V. 32, 55
beta
garch 26
Scholes-Williams 26, 104
Bhagat, Sanjai 26
bid and ask prices 90
binary ascii output files 87, 141, 152,
155
Binder, John J. 1
binomial test 112
Boehmer, Ekkehart 28, 52, 109, 111,
135, 140
Bollerslev, Tim 26, 51
BOOT option 30, 130
bootstrapped tests 130, 139
1- or 2-tailed 130, 139
bootstrapping 30
BOTH option 25, 50
Brickley, James A. 111
Brockett, Patrick L. 26, 50
Brown, Stephen J. 111
buy-and-hold returns 30, 53, 104
with EXTRACT statement 67
BUYHOLD option 30, 53
Cantrell, Steve 108
cash distributions 90, 141
Chandra, Ramesh 32, 55
Chen, Haiyang 112
Chen, Hwei-Mei 26, 50
Chou, Ray 26, 51
Collins, Daniel W. 29, 52
Collins-Dent test 29, 52
comparison period returns 25, 50, 66,
105
compounded returns 30, 53, 104
continuously compounded returns 22
copyright notice 2
Corhay, Albert 26, 50
Corrado, Charles J. 29, 53, 112
Cowan, Arnold R. 26, 29, 50, 52, 53,
108, 111, 112
CP option 25, 50
cross-sectional analysis 63
cross-sectional regression 65
example 69
cross-sectional standard deviation 111
cross-sectional standard error 111
cross-sectional test 28, 51
formula 111
crsp database
crspAccess 159
environment variables 159
excess returns 15, 26, 84, 88, 127
how Eventus finds 159
169