Modelling normal returns in event studies: a model-selection approach and pilot study
Cable, J. and Holland, K. (1999) Modelling normal returns in event studies: a model-selection approach and pilot study. The European Journal of Finance, 5, (4), 331-341. (doi:10.1080/135184799336993).
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The choice of model of normal returns in event studies has been widely discussed in the literature. While researchers frequently continue to use an array of alternatives, there is currently some tendency to favour cruder but simpler mean- or market-adjusted returns models. This paper presents a general-to-specific model selection framework for testing the data admissibility of the principal models in current use. Results from a pilot study indicate a strong preliminary preference in favour of the regression-based models, with the market model generally outperforming the capital asset pricing model.
|Keywords:||abnormal returns, event studies|
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||30 May 2008|
|Last Modified:||02 Mar 2012 11:50|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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