A Simple, Consistent Estimate for Disturbance Components in Financial Models
dc.contributor.author | Levinsohn, James A. | en_US |
dc.contributor.author | MacKie-Mason, Jeffrey K. | en_US |
dc.date.accessioned | 2013-11-14T23:21:36Z | |
dc.date.available | 2013-11-14T23:21:36Z | |
dc.date.issued | 1989-09-14 | en_US |
dc.identifier.other | MichU DeptE ResSIE D243 | en_US |
dc.identifier.other | C580 | en_US |
dc.identifier.other | G120 | en_US |
dc.identifier.other | G320 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/100855 | |
dc.description.abstract | Many recent papers have estimated components of the disturbance term in the "market model" of equity returns. In particular, several studies of regulatory changes and other policy events have decomposed the event effects in order to allow for heterogeneity across firms. In this paper we demonstrate that the econometric method applied in some papers yields biased and inconsistent estimates of the model parameters. We demonstrate the consistency of a simple and easily-implemented alternative method. | en_US |
dc.description.sponsorship | Research Seminar in International Economics, Department of Economics, University of Michigan | en_US |
dc.relation.ispartofseries | Seminar Discussion Paper | en_US |
dc.subject | Econometrics | en_US |
dc.subject | Financial Market | en_US |
dc.subject.other | Financial Econometrics | en_US |
dc.subject.other | Asset Pricing | en_US |
dc.subject.other | Trading Volume | en_US |
dc.subject.other | Bond Interest Rates | en_US |
dc.subject.other | Financing Policy | en_US |
dc.subject.other | Financial Risk and Risk Management | en_US |
dc.subject.other | Capital and Ownership Structure | en_US |
dc.subject.other | Value of Firms | en_US |
dc.subject.other | Goodwill | en_US |
dc.title | A Simple, Consistent Estimate for Disturbance Components in Financial Models | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Social Sciences | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/100855/1/ECON309.pdf | |
dc.owningcollname | Economics, Department of - Working Papers Series |
Files in this item
-
Economics, Department of - Working Papers Series
Working papers from the Department of Economics
Remediation of Harmful Language
The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.
Accessibility
If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.