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

Cable, John and Holland, Kevin ORCID: https://orcid.org/0000-0002-0414-2503 2000. Robust vs. OLS estimation of the market model: implications for event studies. Economics Letters 69 (3) , pp. 385-391. 10.1016/S0165-1765(00)00306-2

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Abstract

OLS estimates of the market model reveal pervasive skewness as well as kurtosis, so that robust estimation will not automatically yield efficiency gains. Moreover, under both OLS and robust estimation, normality is restored when abnormal returns are averaged over portfolios of a size used in event studies.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General)
Uncontrolled Keywords:	Event studies; Market model; Robust estimation
Publisher:	Elsevier
ISSN:	0165-1765
Last Modified:	25 Oct 2022 09:09
URI:	https://orca.cardiff.ac.uk/id/eprint/57504

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