Robust vs. OLS estimation of the market model: implications for event studies
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference13 articles.
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2. Regression vs. non-regression models of normal returns: implications for event studies;Cable;Economics Letters,1999
3. Measuring security price performance using daily NASDAQ returns;Campbell;Journal of Financial Economics,1993
4. Robust measurement of beta risk;Chan;Journal of Financial and Quantitative Analysis,1992
5. Empirical irregularities in the estimation of BETA: the impact of alternative estimation assumptions and procedures;Draper;Journal of Business Finance and Accounting,1995
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