๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Misspecification of the market model: the implications for event studies

โœ Scribed by Andrew Coutts, J.; Mills, Terence C.; Roberts, Jennifer


Book ID
126478592
Publisher
Taylor and Francis Group
Year
1995
Tongue
English
Weight
93 KB
Volume
2
Category
Article
ISSN
1350-4851

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Handling missing prices in a thinly trad
โœ Juha-Pekka Kallunki ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 856 KB

This paper employs a simulation approach to provide new evidence on how thin trading affects the specification of the event study methods in a thinly traded environment. We examine the properties of the returns computed with alternative procedures for handling missing prices as well as their impact