Brown, Keith C.; Lockwood, Larry J.; Lummer, Scott L. - In: Journal of Financial and Quantitative Analysis 20 (1985) 03, pp. 315-334
This paper considers two aspects of the tendency for systematic risk to change during the period surrounding a firm-specific event. First, a statistic allowing for heteroskedasticity is presented as a means of more precisely testing for the incidence of structural change in the market model....