Sökning: onr:"swepub:oai:DiVA.org:su-41628" >
A Simple, Consisten...
A Simple, Consistent Estimator for Disturbance in Financial Models
-
- Levinsohn, James (författare)
- University of Michigan
-
- MacKie-Mason, Jeffrey K. (författare)
- University of Michigan
-
(creator_code:org_t)
- Stockholm : IIES, 1989
- Engelska 18 s.
-
Serie: Seminar Paper / Institute for International Economic Studies, Stockholm University, 0347-8769 ; 443
- Relaterad länk:
-
https://su.diva-port... (primary) (Raw object)
-
visa fler...
-
https://urn.kb.se/re...
-
visa färre...
Abstract
Ämnesord
Stäng
- Many 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.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Economics
- Nationalekonomi
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)