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Exclusion period and market model parameter nonstationarities in price reaction studies
Author(s) -
THEOBALD MICHAEL
Publication year - 1985
Publication title -
contemporary accounting research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.769
H-Index - 99
eISSN - 1911-3846
pISSN - 0823-9150
DOI - 10.1111/j.1911-3846.1985.tb00604.x
Subject(s) - econometrics , period (music) , economics , mathematics , physics , acoustics
. Analytic expressions are developed for investigating the impact of erroneous exclusion periods on residuals analyses and the problems of determining correct exclusion periods. The interreaction with market model parameter nonstationarities is rigorously analyzed and rationalizations for empirical observations are presented.