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), pp. 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
Digital Object Identifier (DOI): doi:10.1016/S0165-1765(00)00306-2
ISSNs: 0165-1765 (print)
Keywords: event studies, market model, robust estimation
Subjects:
ePrint ID: 51387
Date :
Date Event
2000Published
Date Deposited: 05 Jun 2008
Last Modified: 16 Apr 2017 18:05
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/51387

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