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This paper makes specifics contributions in the methodology of event studies. First, it develops a financial econometrics framework for understanding, measuring and testing the impact of outlier returns on the estimated parameters of stock return models. Second, it presents a maximum likelihood...
Persistent link: https://www.econbiz.de/10012864556
Stock returns are decomposed into their regular and outlier components using a maximum likelihood outlier resistant estimation method. Analytical results depicting the impact of outliers on the OLS estimated models and CAR statistics are derived and validated using Monte Carlo simulations. The...
Persistent link: https://www.econbiz.de/10012845997
Persistent link: https://www.econbiz.de/10012670646