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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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
ePrint ID: 51387
Date Deposited: 05 Jun 2008
Last Modified: 27 Mar 2014 18:34
URI: http://eprints.soton.ac.uk/id/eprint/51387

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