haku: @author Kothari, S. P. / yhteensä: 13
viite: 12 / 13
Tekijä: | Kothari, S. P. Wasley, C. E. |
Otsikko: | Measuring security price performance in size - clustered samples. |
Lehti: | Accounting Review
1989 : APR, VOL. 64:2, p. 228-249 |
Asiasana: | SHARE PRICES RATE OF RETURN FINANCIAL FORECASTING COMPANIES BY SIZE |
Kieli: | eng |
Tiivistelmä: | The present paper evaluates the impact of the firm size effect on test statistics based on market-adjusted and market model abnormal returns. The performance of two alternative abnormal return methods is also examined (size control portfolio and size model). Simulation results reveal that conventional t- statistics based on the first and the second models are often misspecified, while no misspecification occurs for the third and the fourth models. |
SCIMA