Misspecification of the market model: the implications for event studies
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/135048595357528
Reference6 articles.
1. Robust and Partially Adaptive Estimation of Regression Models
2. The Behavior of Stock-Market Prices
3. An Analysis of Nonlinearities, Heteroscedasticity, and Functional Form in the Market Model
4. Mills, T. C. and Coutts, J. A. Estimating Betas for the FT-SE industry baskets: misspecification testing and robust estimation of the market model. Finance and Market Based Accounting Research Conference. September. University of Manchester.
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