Decomposing abnormal returns in stochastic linear models

Carl Lin

Economics Letters, 2013, vol. 118, issue 1, 143-147

Abstract: This paper presents a method helpful in analyzing the sources of return in an event study. A generalized decomposition result derived from the differential between two random linear functions attributes the effect of events or regulations on the value of firms to differences in economy-wide and individualistic factors. In aggregate decomposition, the abnormal return in the existing literature is equivalent to the coefficient effects. As an example, I take the market model in Card and Krueger (1995) showing that this approach helps provide additional insights.

Keywords: Abnormal returns; Oaxaca decomposition; Event study; Market model (search for similar items in EconPapers)
JEL-codes: C58 G14 J31 J38 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:1:p:143-147

DOI: 10.1016/j.econlet.2012.09.035

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