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Keywords: Intraday data
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Journal Articles
Journal:
Journal of Accounting Literature
Journal of Accounting Literature (2026) 48 (1): 332–358.
Published: 21 June 2024
..., using intraday data from TAQ, TRACE, I/B/E/S and Capital IQ and daily data from CRSP, Thomson Reuters, Compustat, CRSP-Compustat Merged Database and FRED, using a controlled contrast between absolute abnormal returns for relevant halfhours versus absolute abnormal returns in control halfhours, measured...
