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A simple, consistent estimator for disturbance components in financial models

Author: James Levinsohn; Jeffrey K MacKie-Mason; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 1989.
Series: NBER technical working paper series, no. 80.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: James Levinsohn; Jeffrey K MacKie-Mason; National Bureau of Economic Research.
OCLC Number: 71823328
Notes: Title from http://www.nber.org/papers/t0080 viewed May 7, 2013.
"October 1989."
Description: 1 online resource (12 pages).
Series Title: NBER technical working paper series, no. 80.
Responsibility: James A. Levinsohn, Jeffrey K. MacKie-Mason.

Abstract:

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.

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