Robust vs. OLS estimation of the market model: implications for event studies
Cable, John and Holland, Kevin (2000) Robust vs. OLS estimation of the market model: implications for event studies. Economics Letters, 69, (3), 385-391. (doi:10.1016/S0165-1765(00)00306-2).
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Original Publication URL: http://dx.doi.org/10.1016/S0165-1765(00)00306-2
Description/Abstract
OLS estimates of the market model reveal pervasive skewness as well as kurtosis, so that robust estimation will not automatically yield efficiency gains. Moreover, under both OLS and robust estimation, normality is restored when abnormal returns are averaged over portfolios of a size used in event studies.
| Item Type: | Article |
|---|---|
| ISSNs: | 0165-1765 (print) |
| Related URLs: | |
| Keywords: | event studies, market model, robust estimation |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 51387 |
| Date Deposited: | 05 Jun 2008 |
| Last Modified: | 25 Apr 2013 16:22 |
| Contributors: | Cable, John (Author) Holland, Kevin (Author) |
| Date: | 2000 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/51387 |
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