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| Tekijä: | Strong, N. |
| Otsikko: | Modelling abnormal returns: a review article. |
| Lehti: | Journal of Business Finance and Accounting
1992 : JUN, VOL. 19:4, p. 533-553 |
| Asiasana: | MODELS RETURN ON INVESTMENT REVIEW FINANCIAL MODELS SECURITIES |
| Kieli: | eng |
| Tiivistelmä: | This paper provides a guide to price based event study methodologies. Issues covered are the main alternative methods for measuring abnormal returns, evidence on the power and efficiency of these methods, special problems concerned with estimation and test statistics, and the problem of controlling for extra-market factors. Author argues that special care should be taken to check whether the sample of event securities is unrepresentative across any extra-market dimension, in particular firm size. If necessary some form of control portfolio approach should be employed. |
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