haku: @journal_id 62 / yhteensä: 680
viite: 264 / 680
| Tekijä: | Klein, A. Rosenfeld, J. |
| Otsikko: | The influence of market conditions on event-study residuals. |
| Lehti: | Journal of Financial and Quantitative Analysis
1987 : SEP, VOL. 22:3, p. 345-351 |
| Asiasana: | RATE OF RETURN |
| Kieli: | eng |
| Tiivistelmä: | We present evidence that the mean- adjusted and raw-market returns models are misspecified when the event considered occurs during either bull or bear markets. To demonstrate this phenomenon, we employ simulation techniques and an actual event to study the reliability of four different return- generating models. If the event occurs during a bull (bear) market, the first two models produce up(down)wardly biased positive (negative) abnormal returns. In contrast, the last two models show far less evidence of any unusual price activity. |
SCIMA