Regression vs. non-regression models of normal returns: implications for event studies

Authors
Cable, J Holland, K
Citation
J. Cable et K. Holland, Regression vs. non-regression models of normal returns: implications for event studies, ECON LETT, 64(1), 1999, pp. 81-85
Citations number
12
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
64
Issue
1
Year of publication
1999
Pages
81 - 85
Database
ISI
SICI code
0165-1765(199907)64:1<81:RVNMON>2.0.ZU;2-0
Abstract
Event studies depend critically on correct specification of the counterfact ual, normal returns to corporate assets. Model selection tests for a sample of FT-SE 100 UK companies reject two widely used non-regression models aga inst the principal regression-based alternative, the market model. (C) 1999 Elsevier Science S.A. All rights reserved. JEL classification: G0; G1.