Modelling normal returns in event studies: a model-selection approach and pilot study
Modelling normal returns in event studies: a model-selection approach and pilot study
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.
abnormal returns, event studies
331-341
Cable, J.
184005ac-62c5-4c86-ade5-c0f5fb192308
Holland, K.
91511fcc-a84b-44b6-98ee-13b6ebde71da
December 1999
Cable, J.
184005ac-62c5-4c86-ade5-c0f5fb192308
Holland, K.
91511fcc-a84b-44b6-98ee-13b6ebde71da
Cable, J. and Holland, K.
(1999)
Modelling normal returns in event studies: a model-selection approach and pilot study.
European Journal of Finance, 5 (4), .
(doi:10.1080/135184799336993).
Abstract
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.
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Published date: December 1999
Keywords:
abnormal returns, event studies
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Local EPrints ID: 51388
URI: http://eprints.soton.ac.uk/id/eprint/51388
ISSN: 1351-847X
PURE UUID: 2aca2392-b3e2-4549-9828-c991c3316e68
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Date deposited: 30 May 2008
Last modified: 15 Mar 2024 10:17
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Author:
J. Cable
Author:
K. Holland
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