Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap methods. Yet the latter remain approximate. In this paper, we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts. We study procedures based on the standard test statistics [e.g., the Goldfeld-Quandt, Glejser, Bartlett, Cochran, Hartley, Breusch-Pagan-Godfrey, White and Szroeter criteria] as well as tests for autoregressive conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of combined test statistics) to allow for unknown breakpoints in the error variance. We exploit the technique of Monte Carlo tests to obtain provably exact p-values, for both the standard and the new tests suggested. We show that the MC test procedure conveniently solves the intractable null distribution problem, in particular those raised by the sup-type and combined test statistics as well as (when relevant) unidentified nuisance parameter problems under the null hypothesis. The method proposed works in exactly the same way with both Gaussian and non-Gaussian disturbance distributions [such as heavy-tailed or stable distributions]. The performance of the procedures is examined by simulation. The Monte Carlo experiments conducted focus on : (1) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one exogenous variable, and (ii) the mean of the dependent variable; (3) grouped heteroskedasticity; (4) breaks in variance at unknown points. We find that the proposed tests achieve perfect size control and have good power.

Testing for non-linearity in daily sterling exchange rates

A number of tests for non-linear dependence in time series are presented and implemented on a set of 10 daily sterling exchange rates covering the entire post Bretton-Woods era until the present day. Irrefutable evidence of non-linearity is shown in many of the series, but most of this dependence can apparently be explained by reference to the GARCH family of models. It is suggested that the literature in this area has reached an impasse, with the presence of ARCH effects clearly demonstrated in a large number of papers, but with the tests for non-linearity which are currently available being unable to classify any additional non-linear structure.

A study on time-varying quantile and its applications

This Thesis is the result of my Master Degree studies at the Graduate School of Economics, Getúlio Vargas Foundation, from January 2004 to August 2006. am indebted to my Thesis Advisor, Professor Luiz Renato Lima, who introduced me to the Econometrics' world. In this Thesis, we study time-varying quantile process and we develop two applications, which are presented here as Part and Part II. Each of these parts was transformed in paper. Both papers were submitted. Part shows that asymmetric persistence induces ARCH effects, but the LMARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence of ARCH errors. These results suggest that the LM-ARCH and the Koenker-Xiao tests may be used in applied research as complementary tools. In the Part II, we compare four different Value-at-Risk (VaR) methodologies through Monte Cario experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that require distributional assumption. In particular, we show that the non-robust method ologies have higher probability to predict VaRs with too many violations. We illustrate our findings with an empirical exercise in which we estimate VaR for returns of São Paulo stock exchange index, IBOVESPA, during periods of market turmoil. Our results indicate that the robust method based on quantile regression presents the least number of violations.

The sensitivity of US banks' stock returns to interest and exchange rate changes

Purpose – The purpose of this paper is to investigate the impact of foreign exchange and interest rate changes on US banks’ stock returns. Design/methodology/approach – The approach employs an EGARCH model to account for the ARCH effects in daily returns. Most prior studies have used standard OLS estimation methods with the result that the presence of ARCH effects would have affected estimation efficiency. For comparative purposes, the standard OLS estimation method is also used to measure sensitivity. Findings – The findings are as follows: under the conditional t-distributional assumption, the EGARCH model generated a much better fit to the data although the goodness-of-fit of the model is not entirely satisfactory; the market index return accounts for most of the variation in stock returns at both the individual bank and portfolio levels; and the degree of sensitivity of the stock returns to interest rate and FX rate changes is not very pronounced despite the use of high frequency data. Earlier results had indicated that daily data provided greater evidence of exposure sensitivity. Practical implications – Assuming that banks do not hedge perfectly, these findings have important financial implications as they suggest that the hedging policies of the banks are not reflected in their stock prices. Alternatively, it is possible that different GARCH-type models might be more appropriate when modelling high frequency returns. Originality/value – The paper contributes to existing knowledge in the area by showing that ARCH effects do impact on measures of sensitivity.

Pricing-to-market for UK export sector

This thesis investigates the pricing-to-market (PTM) behaviour of the UK export sector. Unlike previous studies, this study econometrically tests for seasonal unit roots in the export prices prior to estimating PTM behaviour. Prior studies have seasonally adjusted the data automatically. This study’s results show that monthly export prices contain very little seasonal unit roots implying that there is a loss of information in the data generating process of the series when estimating PTM using seasonally-adjusted data. Prior studies have also ignored the econometric properties of the data despite the existence of ARCH effects in such data. The standard approach has been to estimate PTM models using Ordinary Least Square (OLS). For this reason, both EGARCH and GJR-EGARCH (hereafter GJR) estimation methods are used to estimate both a standard and an Error Correction model (ECM) of PTM. The results indicate that PTM behaviour varies across UK sectors. The variables used in the PTM models are co-integrated and an ECM is a valid representation of pricing behaviour. The study also finds that the price adjustment is slower when the analysis is performed on real prices, i.e., data that are adjusted for inflation. There is strong evidence of auto-regressive condition heteroscedasticity (ARCH) effects – meaning that the PTM parameter estimates of prior studies have been ineffectively estimated. Surprisingly, there is very little evidence of asymmetry. This suggests that exporters appear to PTM at a relatively constant rate. This finding might also explain the failure of prior studies to find evidence of asymmetric exposure in foreign exchange (FX) rates. This study also provides a cross sectional analysis to explain the implications of the observed PTM of producers’ marginal cost, market share and product differentiation. The cross-sectional regressions are estimated using OLS, Generalised Method of Moment (GMM) and Logit estimations. Overall, the results suggest that market share affects PTM positively.Exporters with smaller market share are more likely to operate PTM. Alternatively, product differentiation is negatively associated with PTM. So industries with highly differentiated products are less likely to adjust their prices. However, marginal costs seem not to be significantly associated with PTM. Exporters perform PTM to limit the FX rate effect pass-through to their foreign customers, but they also avoided exploiting PTM to the full, since to do so can substantially reduce their profits.

Effects of (-)-RO363 at human atrial beta-adrenoceptor subtypes, the human cloned beta(3)-adrenoceptor and rodent intestinal beta(3)-adrenoceptors

1 Chronic treatment of patients with beta-blockers causes atrial inotropic hyperresponsiveness through beta(2)-adrenoceptors, 5-HT4 receptors and H-2-receptors but apparently not through beta(1)-adrenoceptors despite data claiming an increased beta(1)-adrenoceptor density from homogenate binding studies. We have addressed the question of beta(1)-adrenoceptor sensitivity by determining the inotropic potency and intrinsic activity of the beta(1)-adrenoceptor selective partial agonist (-)-RO363 and by carrying out both homogenate binding and quantitative beta-adrenoceptor autoradiography in atria obtained from patients treated or not treated with beta-blockers. In the course of the experiments it became apparent that (-)-RO363 also may cause agonistic effects through the third atrial beta-adrenoceptor. To assess whether (-)-RO363 also caused agonistic effects through beta(3)-adrenoceptors we studied its relaxant effects in rat colon and guinea-pig ileum, as well as receptor binding and adenylyl cyclase stimulation of chinese hamster ovary (CHO) cells expressing human beta(3)-adrenoceptors. 2 beta-Adrenoceptors were labelled with (-)-[I-125]-cyanopindolol. The density of both beta(1)- and beta(2)-adrenoceptors was unchanged in the 2 groups, as assessed with both quantitative receptor autoradiography and homogenate binding. The affinities of (-)-RO363 for beta(1)-adrenoceptors (pK(i) = 8.0-7.7) and beta(2)-adrenoceptors (pK(i) = 6.1-5.8) were not significantly different in the two groups. 3 (-)-RO363 increased atrial force with a pEC(50) of 8.2 (beta-blocker treated) and 8.0 (non-beta-blocker treated) and intrinsic activity with respect to (-)-isoprenaline of 0.80 (beta-blocker treated) and 0.54 (non-beta-blocker treated) (P<0.001) and with respect to Ca2+ (7 mM) of 0.65 (beta-blocker treated) and 0.45 (non-beta-blocker treated) (P<0.01). The effects of (-)-RO363 were resistant to antagonism by the beta(2)-adrenoceptor antagonist, ICI 118,551 (50 nM). The effects of 0.3-10 nM (-)-RO363 were antagonized by 3-10 nM of the beta(1)-adrenoceptor selective antagonist CGP 20712A. The effects of 20-1000 nM (-)-RO363 were partially resistant to antagonism by 30-300 nM CGP 20712A. 4 (-)-RO363 relaxed the rat colon, partially precontracted by 30 mM KCl, with an intrinsic activity of 0.97 compared to (-)-isoprenaline. The concentration-effect curve to (-)-RO363 revealed 2 components, one antagonized by (-)-propranolol (200 nM) with pEC(50)=8.5 and fraction 0.66, the other resistant to (-)-propranolol (200 nM) with pEC(50)=5.6 and fraction 0.34 of maximal relaxation. 5 (-)-RO363 relaxed the longitudinal muscle of guinea-pig ileum, precontracted by 0.5 mu M histamine, with intrinsic activity of 1.0 compared to (-)-isoprenaline and through 2 components, one antagonized by (-)-propranolol (200 nM) with pEC(50)=8.7 and fraction 0.67, the other resistant to (-)-propranolol with pEC(50)=4.9 and fraction 0.33 of maximal relaxation. 6 (-)-RO363 stimulated the adenylyl cyclase of CHO cells expressing human beta(3)-adrenoceptors with pEC(50)=5.5 and intrinsic activity 0.74 with respect to (-)-isoprenaline (pEC(50)=5.9). (-)-RO363 competed for binding with [I-125]cyanopindolol at human beta(3)-adrenoceptors transfected into CHO cells with pK(i)=4.5. (-)-Isoprenaline (pk(i)=5.2) and (-)-CGP 12177A (pK(i)=6.1) also competed for binding at human beta(2)-adrenoceptors. 7 We conclude that under conditions used in this study, (-)-RO363 is a potent partial agonist for human beta(1)- and beta(3)-adrenoceptors and appears also to activate the third human atrial beta-adrenoceptor. (-)-RO363 relaxes mammalian gut through both beta(1)- and beta(3)-adrenoceptors. (-)-RO363, used as a beta(1)-adrenoceptor selective tool, confirms previous findings with (-)-noradrenaline that beta(1)-adrenoceptor mediated atrial effects are only slightly enhanced by chronic treatment of patients with beta-blockers. Chronic treatment with beta(1)-adrenoceptor-selective blockers does not significantly increase the density of human atrial beta(1)- and beta(2)-adrenoceptors.

Effects of the pendulum appliance, cervical headgear, and 2 premolar extractions followed by fixed appliances in patients with Class II malocclusion

Introduction: In this retrospective study, we compared the cephalometric effects, the dental-arch changes, and the efficiency of Class II treatment with the pendulum appliance, cervical headgear, or extraction of 2 maxillary premolars, all associated with fixed appliance therapy. Methods: The sample of 82 patients with Class II malocclusion was divided into 3 groups: group 1 patients (n = 22; treatment time, 3.8 years) were treated with the pendulum appliance and fixed orthodontic appliances. Group 2 patients (n = 30; treatment time, 3.2 years) were treated with cervical headgear followed by fixed appliances; group 3 patients (n = 30; treatment time, 2.1 years) were treated with 2 maxillary premolar extractions and fixed appliances. The average starting ages of the groups ranged from 13.2 to 13.8 years. Data were obtained from serial cephalometric measurements and dental casts. The dental casts were analyzed with the treatment priority index. The treatment efficiency index was also used. Results: The 3 treatment protocols produced similar cephalometric effects, especially skeletally. Comparisons among the 2 distalizing appliances (pendulum and cervical headgear) and extraction of 2 maxillary premolars for Class II treatment showed changes primarily in the maxillary dentoalveolar component and dental relationships. The facial profile was similar after treatment, except for slightly more retrusion of the upper lip in the extraction patients. The treatment priority index demonstrated that occlusal outcomes also were similar among the groups. The treatment efficiency index had higher values for the extraction group. Conclusions: The effects of treatment with the pendulum appliance or cervical headgear and extraction of 2 maxillary premolars associated with fixed appliances were similar from both occlusal and cephalometric standpoints. Class II treatment with extraction of maxillary teeth was more efficient because of the shorter treatment time. Differences in maxillary incisor retraction should be noted, but these differences might have been due to greater maxillary dentoalveolar protrusion in the extraction group before treatment. (Am J Orthod Dentofacial Orthop 2009;136:833-42)

Total aortic arch stenting--hemodynamical impact of carotid artery perfusion.

The aim of this experimental study is to evaluate the feasibility and the outcome of total endovascular stent implantation in the aortic arch. Indications for this operation-technique would be acute or chronic dissection of the aortic arch (non-A-non-B dissection) or type B dissection with retrograde extension. Four pigs were canulated via the distal abdominal aorta and a retrograde placement of a Djumbodis arch stent (4-9 cm) was controlled by using intravascular ultrasound and intracardiac ultrasound by the inferior cava vein and under radioscopic control. Cerebral perfusion, by using a flow meter placed on one prepared carotid artery, were controlled before, immediate post-procedural (<1 min), and in the early follow-up after aortic arch stent implantation. During the implantation process, especially during balloon inflation and deflation, mean carotid perfusion decreases slightly. A reactive increase of carotid perfusion after stent placements indicates transitory cerebral hypo-perfusion. Non-covered aortic arch stent implantation is technically feasible and could be a potential treatment option in otherwise inoperable arch dissections. The time required for balloon inflation and deflation causes an important risk of cerebral ischemia. The latter can be reduced by transaxillary perfusion.

International propagation of shocks: an evaluation of contagion effects for some Latin American countries

In this paper we analyze the spread of shocks across assets markets in eight Latin American countries. First, we measure the extent of markets reactions with the Principal Components Analysis. And second, we investigate the volatility of assets markets based in ARCH-GARCH models in function of the principal components retained in the first stage. Our results do not support the existence of financial contagion, but of interdependence in most of the cases and a slight increase in the sensibility of markets to recent shocks.

Effects of probiotic bacteria, isoflavones and simvastatin on lipid profile and atherosclerosis in cholesterol-fed rabbits: a randomized double-blind study

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

EVALUATION OF IN VITRO AND IN VIVO EFFECTS OF SEMIPURIFIED PROTEINASE INHIBITORS FROM THEOBROMA SEEDS ON MIDGUT PROTEASE ACTIVITY OF LEPIDOPTERAN PEST INSECTS

We have characterized in vitro and in vivo effects of trypsin inhibitors from Theobroma seeds on the activity of trypsin- and chymotrypsin-like proteins from Lepidopteran pest insects. The action of semipurified trypsin inhibitors from Theobroma was evaluated by the inhibition of bovine trypsin and chymotrypsin activities determined by the hydrolysis of N-Benzoyl-DL-Arginine-p-Nitroanilide (BAPA) and N-Succinyl-Ala-Ala-Pho-Phe p-Nitroanilide (S-(Ala)2ProPhe-pNA). Proteinase inhibitor activities from Theobroma cacao and T. obovatum seeds were the most effective in inhibiting trypsin-like proteins, whereas those from T. obovatum and T. sylvestre were the most efficient against chymotrypsin-like proteins. All larvae midgut extracts showed trypsin-like proteolytic activities, and the putative trypsin inhibitors from Theobroma seeds significantly inhibited purified bovine trypsin. With respect to the influence of Theobroma trypsin inhibitors on intact insects, the inclusion of T. cacao extracts in artificial diets of velvet bean caterpillars (Anticarsia gemmatalis) and sugarcane borer (Diatraea saccharalis) produced a significant increase in the percentage of adult deformation, which is directly related to both the survival rate of the insects and oviposition.

Mineralogy of Hawaiian Arch sediments

The mineralogy of both bulk- and clay-sized (<2 µm) fractions of sediments from Holes 842A and 842B of Ocean Drilling Program Leg 136 was determined by X-ray diffraction. The sediments consist of a combination of terrigenous (quartz, plagioclase, smectite, illite, kaolinite, and chlorite), volcaniclastic (augite, plagioclase, and volcanic glass), and diagenetic minerals (smectite, phillipsite, clinoptilolite, and opal-CT). Although biogenic silica (radiolarians and diatoms) is common in near-seafloor (<10 mbsf) sediments, biogenic calcite is rare. Variations with depth in abundances of the terrigenous minerals reflect temporal changes in the flux of eolian material to the site. Volcanogenic material derived from the Hawaiian Islands is present in lithologic Unit 1 (0-19.9 meters below seafloor) both as discrete layers and as finely disseminated silt- and clay-sized material. Volcanic glass is present only in the upper 10 m of the sediment column. In Unit 2 (19.9-35.7 mbsf), increased smectite and zeolite abundances with depth as well as indurated, zeolite-rich layers are thought to be the alteration products of volcanogenic material. The source of this older (late Oligocene to middle Miocene) volcanogenic detritus may be continental volcanism. Microfabrics imaged using back-scattered electron imaging reflect the effects of compaction and diagenesis on sediment porosity and matrix structure. As porosity decreases during burial, the matrix changes from an open, floc-like fabric, to an interlocking network of clay mineral domains, and finally to a dense intergrowth of clay minerals and zeolites. Despite the substantial changes in sediment microfabric and mineralogy, correlations between physical and acoustic properties and mineralogy are weak or absent. The sediment has maintained high porosity (>70%), and water content appears to dominate the sediment's physical character and acoustic response.

Nonlinear seismic behaviour of concrete arch bridges

Arch bridge structural solution has been known for centuries, in fact the simple nature of arch that require low tension and shear strength was an advantage as the simple materials like stone and brick were the only option back in ancient centuries. By the pass of time especially after industrial revolution, the new materials were adopted in construction of arch bridges to reach longer spans. Nowadays one long span arch bridge is made of steel, concrete or combination of these two as "CFST", as the result of using these high strength materials, very long spans can be achieved. The current record for longest arch belongs to Chaotianmen bridge over Yangtze river in China with 552 meters span made of steel and the longest reinforced concrete type is Wanxian bridge which also cross the Yangtze river through a 420 meters span. Today the designer is no longer limited by span length as long as arch bridge is the most applicable solution among other approaches, i.e. cable stayed and suspended bridges are more reasonable if very long span is desired. Like any super structure, the economical and architectural aspects in construction of a bridge is extremely important, in other words, as a narrower bridge has better appearance, it also require smaller volume of material which make the design more economical. Design of such bridge, beside the high strength materials, requires precise structural analysis approaches capable of integrating the combination of material behaviour and complex geometry of structure and various types of loads which may be applied to bridge during its service life. Depend on the design strategy, analysis may only evaluates the linear elastic behaviour of structure or consider the nonlinear properties as well. Although most of structures in the past were designed to act in their elastic range, the rapid increase in computational capacity allow us to consider different sources of nonlinearities in order to achieve a more realistic evaluations where the dynamic behaviour of bridge is important especially in seismic zones where large movements may occur or structure experience P - _ effect during the earthquake. The above mentioned type of analysis is computationally expensive and very time consuming. In recent years, several methods were proposed in order to resolve this problem. Discussion of recent developments on these methods and their application on long span concrete arch bridges is the main goal of this research. Accordingly available long span concrete arch bridges have been studied to gather the critical information about their geometrical aspects and properties of their materials. Based on concluded information, several concrete arch bridges were designed for further studies. The main span of these bridges range from 100 to 400 meters. The Structural analysis methods implemented in in this study are as following: Elastic Analysis: Direct Response History Analysis (DRHA): This method solves the direct equation of motion over time history of applied acceleration or imposed load in linear elastic range. Modal Response History Analysis (MRHA): Similar to DRHA, this method is also based on time history, but the equation of motion is simplified to single degree of freedom system and calculates the response of each mode independently. Performing this analysis require less time than DRHA. Modal Response Spectrum Analysis (MRSA): As it is obvious from its name, this method calculates the peak response of structure for each mode and combine them using modal combination rules based on the introduced spectra of ground motion. This method is expected to be fastest among Elastic analysis. Inelastic Analysis: Nonlinear Response History Analysis (NL-RHA): The most accurate strategy to address significant nonlinearities in structural dynamics is undoubtedly the nonlinear response history analysis which is similar to DRHA but extended to inelastic range by updating the stiffness matrix for every iteration. This onerous task, clearly increase the computational cost especially for unsymmetrical buildings that requires to be analyzed in a full 3D model for taking the torsional effects in to consideration. Modal Pushover Analysis (MPA): The Modal Pushover Analysis is basically the MRHA but extended to inelastic stage. After all, the MRHA cannot solve the system of dynamics because the resisting force fs(u; u_ ) is unknown for inelastic stage. The solution of MPA for this obstacle is using the previously recorded fs to evaluate system of dynamics. Extended Modal Pushover Analysis (EMPA): Expanded Modal pushover is a one of very recent proposed methods which evaluates response of structure under multi-directional excitation using the modal pushover analysis strategy. In one specific mode,the original pushover neglect the contribution of the directions different than characteristic one, this is reasonable in regular symmetric building but a structure with complex shape like long span arch bridges may go through strong modal coupling. This method intend to consider modal coupling while it take same time of computation as MPA. Coupled Nonlinear Static Pushover Analysis (CNSP): The EMPA includes the contribution of non-characteristic direction to the formal MPA procedure. However the static pushovers in EMPA are performed individually for every mode, accordingly the resulted values from different modes can be combined but this is only valid in elastic phase; as soon as any element in structure starts yielding the neutral axis of that section is no longer fixed for both response during the earthquake, meaning the longitudinal deflection unavoidably affect the transverse one or vice versa. To overcome this drawback, the CNSP suggests executing pushover analysis for governing modes of each direction at the same time. This strategy is estimated to be more accurate than MPA and EMPA, moreover the calculation time is reduced because only one pushover analysis is required. Regardless of the strategy, the accuracy of structural analysis is highly dependent on modelling and numerical integration approaches used in evaluation of each method. Therefore the widely used Finite Element Method is implemented in process of all analysis performed in this research. In order to address the study, chapter 2, starts with gathered information about constructed long span arch bridges, this chapter continuous with geometrical and material definition of new models. Chapter 3 provides the detailed information about structural analysis strategies; furthermore the step by step description of procedure of all methods is available in Appendix A. The document ends with the description of results and conclusion of chapter 4.

Wealth effects of mergers and acquisitions for US firms: using alternative pricing models

This empirical study employs a different methodology to examine the change in wealth associated with mergers and acquisitions (M&As) for US firms. Specifically, we employ the standard CAPM, the Fama-French three-factor model and the Carhart four-factor models within the OLS and GJR-GARCH estimation methods to test the behaviour of the cumulative abnormal returns (CARs). Whilst the standard CAPM captures the variability of stock returns with the overall market, the Fama-French factors capture the risk factors that are important to investors. Additionally, augmenting the Fama-French three-factor model with the Carhart momentum factor to generate the four-factor captures additional pricing elements that may affect stock returns. Traditionally, estimates of abnormal returns (ARs) in M&As situations rely on the standard OLS estimation method. However, the standard OLS will provide inefficient estimates of the ARs if the data contain ARCH and asymmetric effects. To minimise this problem of estimation efficiency we re-estimated the ARs using GJR-GARCH estimation method. We find that there is variation in the results both as regards the choice models and estimation methods. Besides these variations in the estimated models and the choice of estimation methods, we also tested whether the ARs are affected by the degree of liquidity of the stocks and the size of the firm. We document significant positive post-announcement cumulative ARs (CARs) for target firm shareholders under both the OLS and GJR-GARCH methods across all three methodologies. However, post-event CARs for acquiring firm shareholders were insignificant for both sets of estimation methods under the three methodologies. The GJR-GARCH method seems to generate larger CARs than those of the OLS method. Using both market capitalization and trading volume as a measure of liquidity and the size of the firm, we observed strong return continuations in the medium firms relative to small and large firms for target shareholders. We consistently observed market efficiency in small and large firm. This implies that target firms for small and large firms overreact to new information resulting in a more efficient market. For acquirer firms, our measure of liquidity captures strong return continuations for small firms under the OLS estimates for both CAPM and Fama-French three-factor models, whilst under the GJR-GARCH estimates only for Carhart model. Post-announcement bootstrapping simulated CARs confirmed our earlier results.