Regression vs. non-regression models of normal returns: implications for event studies
Regression vs. non-regression models of normal returns: implications for event studies
Event studies depend critically on correct specification of the counterfactual, normal returns to corporate assets. Model selection tests for a sample of FT-SE 100 UK companies reject two widely used non-regression models against the principal regression-based alternative, the market model.
event studies, abnormal returns, robust estimation
81-85
Cable, John
18b70f60-a855-47e4-a0d1-416151a8dc00
Holland, Kevin
91511fcc-a84b-44b6-98ee-13b6ebde71da
July 1999
Cable, John
18b70f60-a855-47e4-a0d1-416151a8dc00
Holland, Kevin
91511fcc-a84b-44b6-98ee-13b6ebde71da
Cable, John and Holland, Kevin
(1999)
Regression vs. non-regression models of normal returns: implications for event studies.
Economics Letters, 64 (1), .
(doi:10.1016/S0165-1765(99)00065-8).
Abstract
Event studies depend critically on correct specification of the counterfactual, normal returns to corporate assets. Model selection tests for a sample of FT-SE 100 UK companies reject two widely used non-regression models against the principal regression-based alternative, the market model.
This record has no associated files available for download.
More information
Published date: July 1999
Keywords:
event studies, abnormal returns, robust estimation
Identifiers
Local EPrints ID: 51389
URI: http://eprints.soton.ac.uk/id/eprint/51389
ISSN: 0165-1765
PURE UUID: 69dc765a-f308-4d91-a347-fdeaa77a7567
Catalogue record
Date deposited: 05 Jun 2008
Last modified: 15 Mar 2024 10:17
Export record
Altmetrics
Contributors
Author:
John Cable
Author:
Kevin Holland
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics