Erschienen:
Cambridge, Mass: National Bureau of Economic Research, October 1989
Erschienen in:NBER technical working paper series ; no. t0080
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/t0080
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
Mode of access: World Wide Web
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Beschreibung:
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 consistency of a simple and easily-implemented alternative method