haku: @author Wasley, C. E. / yhteensä: 6
viite: 6 / 6
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| 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. |
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