A Simple, Consistent Estimator for Disturbance in Financial Models
1989 (English)Report (Other academic)
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 conssitency of a simple and easily-implemented alternative method.
Place, publisher, year, edition, pages
Stockholm: IIES , 1989. , 18 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 443
IdentifiersURN: urn:nbn:se:su:diva-41628OAI: oai:DiVA.org:su-41628DiVA: diva2:331611
Published in connection with a visit at the IIES.2010-07-232010-07-232010-07-23