Modelling normal returns in event studies: a model-selection approach and pilot study


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), pp. 331-341. (doi:10.1080/135184799336993).

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Description/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.

Item Type: Article
Digital Object Identifier (DOI): doi:10.1080/135184799336993
ISSNs: 1351-847X (print)
Keywords: abnormal returns, event studies
Subjects:
ePrint ID: 51388
Date :
Date Event
December 1999Published
Date Deposited: 30 May 2008
Last Modified: 16 Apr 2017 18:05
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/51388

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