A comparison of alternative expected return estimation models for event studies: A simulation approach

ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 > Item 310904400/17601

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题名:	A comparison of alternative expected return estimation models for event studies: A simulation approach
作者:	劉永欽;Liu, Yong-Chin
贡献者:	財務金融學系
关键词:	GARCH ； Event Study ； Three-Factor Model 3FM ； Four-Factor Model 4FM ； Jensen's Performance Index ； GARCH
日期:	2010-03
上传时间:	2012-11-26 02:37:37 (UTC+0)
摘要:	This paper compares the performance of four expected return estimation models-the MM, CAPM, 3FM, and 4FM-separately using OLS estimator, GARCH model, and mix of OLS and GARCH-for finding AR in traditional short-horizon event study, using simulation experiments. Moreover, Jensen's performance index is employed to evaluate the last three models. The conclusions are that under a traditional framework, OLS is not inferior to the other complex estimators. 3FM and 4FM somewhat dominate the MM and CAPM because of lower estimation bias and slightly smaller Type I error, though the last two models' performance is already satisfactory. Under Jensen's performance index, CAPM is superior to 3FM and 4FM due to lower Type I error and higher power. Both event-study frameworks have weak power in experiencing uncertain event day and/or tiny AR.
關聯:	亞太經濟管理評論
显示于类别:	[財務金融學系] 期刊論文

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