| Author: | McDonald, B. |
| Title: | Event studies and systems methods : some additional evidence. |
| Journal: | Journal of Financial and Quantitative Analysis
1987 : DEC, VOL. 22:4, p. 495-504 |
| Index terms: | SHARE PRICES ECONOMETRIC MODELS |
| Language: | eng |
| Abstract: | The author generalizes Malatesta's recent study on measuring abnormal performance using joint generalized least squares. For monthly data and a random sample of securities Malatesta finds little if any benefit in using more sophisticated econometric methods to identify abnormal returns. To extend these results we use a sample of securities experiencing an actual event and test both monthly and daily data. Moreover, we apply iterative techniques. Our results confirm Malatesta's original conclusions on the ineffectiveness of systems methods for event study applications. |
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