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Regression vs. non-regression models of normal returns: implications for event studies

Regression vs. non-regression models of normal returns: implications for event studies
Regression vs. non-regression models of normal returns: implications for event studies
Event studies depend critically on correct specification of the counterfactual, normal returns to corporate assets. Model selection tests for a sample of FT-SE 100 UK companies reject two widely used non-regression models against the principal regression-based alternative, the market model.
event studies, abnormal returns, robust estimation
0165-1765
81-85
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 (1999) Regression vs. non-regression models of normal returns: implications for event studies. Economics Letters, 64 (1), 81-85. (doi:10.1016/S0165-1765(99)00065-8).

Record type: Article

Abstract

Event studies depend critically on correct specification of the counterfactual, normal returns to corporate assets. Model selection tests for a sample of FT-SE 100 UK companies reject two widely used non-regression models against the principal regression-based alternative, the market model.

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More information

Published date: July 1999
Keywords: event studies, abnormal returns, robust estimation

Identifiers

Local EPrints ID: 51389
URI: http://eprints.soton.ac.uk/id/eprint/51389
ISSN: 0165-1765
PURE UUID: 69dc765a-f308-4d91-a347-fdeaa77a7567

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

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