Add to ORKGMany recent papers have estimated components of the disturbance term in the "market model" of equity returns. In particular, several studies of regulatory changes and other policy events have decomposed the event effects in order to allow for heterogeneity across firms. In this paper we demonstrate that the econometric method applied in some papers yields biased and inconsistent estimates of the model parameters. We demonstrate the conssitency of a simple and easily-implemented alternative method.Published in connection with a visit at the IIES
In the context of an autoregressive panel data model with fixed effect, we examine the relationship ...
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology...
We put forward an equilibrium model that links the cross-sectional variation in expected equity retu...
Many recent papers have estimated components of the disturbance term in the "market model" of equity...
Exogenous random structural disturbances are the main driving force behind fluctuations in most busi...
This dissertation studies two new methods in empirical finance. Section 2 applies a rolling estimati...
The market model, which relates securities returns to their systematic risk (β), plays a major role ...
We will review the econometrics of non-parametric estimation of the components of the variation of a...
This paper discusses the two different contradicting philosophies for testing models in financial ec...
This paper considers two models for analyzing the dynamics of firm behavior that allow for idiosyncr...
We quantify the extent to which nonfundamental movements in a firm’s stock price affect its policies...
summary: this paper dealt with an analytical method for calculating the stochastic properties of the...
This paper analyzes the empirical performance of two alternative ways in which multi-factor models w...
Currently, quantitative asset pricing models are often not equipped to deal with merger and acquisit...
Modern finance would not have been possible without models. Increasingly complex quantitative models...
In the context of an autoregressive panel data model with fixed effect, we examine the relationship ...
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology...
We put forward an equilibrium model that links the cross-sectional variation in expected equity retu...
Many recent papers have estimated components of the disturbance term in the "market model" of equity...
Exogenous random structural disturbances are the main driving force behind fluctuations in most busi...
This dissertation studies two new methods in empirical finance. Section 2 applies a rolling estimati...
The market model, which relates securities returns to their systematic risk (β), plays a major role ...
We will review the econometrics of non-parametric estimation of the components of the variation of a...
This paper discusses the two different contradicting philosophies for testing models in financial ec...
This paper considers two models for analyzing the dynamics of firm behavior that allow for idiosyncr...
We quantify the extent to which nonfundamental movements in a firm’s stock price affect its policies...
summary: this paper dealt with an analytical method for calculating the stochastic properties of the...
This paper analyzes the empirical performance of two alternative ways in which multi-factor models w...
Currently, quantitative asset pricing models are often not equipped to deal with merger and acquisit...
Modern finance would not have been possible without models. Increasingly complex quantitative models...
In the context of an autoregressive panel data model with fixed effect, we examine the relationship ...
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology...
We put forward an equilibrium model that links the cross-sectional variation in expected equity retu...