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Robust vs. OLS estimation of the market model: implications for event studies

✍ Scribed by John Cable; Kevin Holland


Book ID
117331852
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
47 KB
Volume
69
Category
Article
ISSN
0165-1765

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Handling missing prices in a thinly trad
✍ Juha-Pekka Kallunki πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 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