haku: @indexterm EVENT STUDIES / yhteensä: 51
viite: 41 / 51
| Tekijä: | Hilliard, J.E. Savickas, R. |
| Otsikko: | On the statistical significance of event effects on unsystematic volatility |
| Lehti: | Journal of Financial Research
2002 : WINTER, VOL. 25:4, p. 447-462 |
| Asiasana: | Assets Event studies Statistics Volatility |
| Kieli: | eng |
| Tiivistelmä: | In this article, a method for determining the significance of the effect of a certain event (e.g. stock split, corporate restructuring, change in regulation) on systematic volatility of asset returns. It is shown in simulations that the suggested tests reject the true null hypothesis of no effect on volatility at appropriate levels, whereas the rejection rates of a false null hypothesis increase with the effect. |
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