The University of Southampton
University of Southampton Institutional Repository

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).

Record type: Article


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.

Full text not available from this repository.

More information

Published date: 2000
Keywords: event studies, market model, robust estimation


Local EPrints ID: 51387
ISSN: 0165-1765
PURE UUID: 428e0460-e025-4aac-8c35-f7dac8465e14

Catalogue record

Date deposited: 05 Jun 2008
Last modified: 17 Jul 2017 14:48

Export record



Author: John Cable
Author: Kevin Holland

University divisions

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

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.