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Robust vs. OLS estimation of the market model: implications for event studies

Robust vs. OLS estimation of the market model: implications for event studies
Robust vs. OLS estimation of the market model: implications for event studies
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.
event studies, market model, robust estimation
0165-1765
385-391
Cable, John
18b70f60-a855-47e4-a0d1-416151a8dc00
Holland, Kevin
91511fcc-a84b-44b6-98ee-13b6ebde71da
Cable, John
18b70f60-a855-47e4-a0d1-416151a8dc00
Holland, Kevin
91511fcc-a84b-44b6-98ee-13b6ebde71da

Cable, John and Holland, Kevin (2000) Robust vs. OLS estimation of the market model: implications for event studies. Economics Letters, 69 (3), 385-391. (doi:10.1016/S0165-1765(00)00306-2).

Record type: Article

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.

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

Identifiers

Local EPrints ID: 51387
URI: http://eprints.soton.ac.uk/id/eprint/51387
ISSN: 0165-1765
PURE UUID: 428e0460-e025-4aac-8c35-f7dac8465e14

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Date deposited: 05 Jun 2008
Last modified: 13 Mar 2019 20:48

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Author: John Cable
Author: Kevin Holland

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