Robust vs. OLS estimation of the market model: implications for event studies

Authors
Cable, J Holland, K
Citation
J. Cable et K. Holland, Robust vs. OLS estimation of the market model: implications for event studies, ECON LETT, 69(3), 2000, pp. 385-391
Citations number
13
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
69
Issue
3
Year of publication
2000
Pages
385 - 391
Database
ISI
SICI code
0165-1765(200012)69:3<385:RVOEOT>2.0.ZU;2-A
Abstract
OLS estimates of the market model reveal pervasive skewness as well as kurt osis, so that robust estimation will not automatically yield efficiency gai ns. Moreover, under both OLS and robust estimation, normality is restored w hen abnormal returns are averaged over portfolios of a size used in event s tudies. (C) 2000 Elsevier Science S.A. All rights reserved.