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Keywords: U-statistic
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Journal Articles
Journal:
The Accounting Review
The Accounting Review (2022) 97 (6): 417–443.
Published: 01 October 2022
... provided to market participants. When the sign/magnitude of news in disclosures is not easily determined, research follows Beaver (1968) and infers information content from the variance of daily, idiosyncratic stock returns. Beaver's measure, referred to as the U-statistic or AVAR (abnormal return...