haku: @author Chandra, R. / yhteensä: 5
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| Tekijä: | Rohrbach, K. Chandra, R. |
| Otsikko: | The Power of Beaver's U against a Variance Increase in Market Model Residuals |
| Lehti: | Journal of Accounting Research
1989 : SPRING, VOL. 27:1, p.145-155. |
| Asiasana: | STATISTICS STATISTICAL METHODS MONTE CARLO TECHNIQUE |
| Kieli: | eng |
| Tiivistelmä: | To detect variance effects, researchers have extensively applied the square of the standardized market model residual called Beaver's U. However, another statistic, May's U is also useful. If the residuals are normal, then Beaver's U is the best statistic. However, weekly and daily residuals are not normal and Beaver's U ceases to be optimal, May's U dominates it. The authors describe a general empirical distribution procedure which can be used to test both U's. The results are obtain by Monte Carlo simulation. |
SCIMA