FFJRFama, Fisher, Jensen and Roll (market researchers)
References in periodicals archive ?
In the FFJR (1969) study, not all of the firms paid cash dividends.
Bar-Yosef and Brown (1977) and Brown, Lockwood and Lummer (1985) both found, after adjusting for nonstationarity of the market model parameters, that the cumulative abnormal returns reported by FFJR were overstated.
It is the measure used by FFJR, and it has withstood the test of time.