Cable, John and Holland, Kevin
Robust vs. OLS estimation of the market model: implications for event studies
Economics Letters, 69, (3), . (doi:10.1016/S0165-1765(00)00306-2).
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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.
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