A New Approach in Event Studies: Time Varied Analysis

Yi Ren and Dong Xiao

Accounting and Finance Research, 2019, vol. 8, issue 3, 176

Abstract: This study proposes a modified market model of event study that takes into account the asynchronous behavior between individual stocks and the stock market by using an added Chebyshev polynomial term. The proposed model takes into account both the macro market performance and the micro individual stock behavior and is empirically tested. The empirical analysis results demonstrate that the proposed model improves the explanatory power of the model as well as the heteroskedasticity. More importantly, its performance is almost independent of the choice of the events and stocks.

Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.sciedupress.com/journal/index.php/afr/article/download/16069/10008 (application/pdf)
https://www.sciedupress.com/journal/index.php/afr/article/view/16069 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jfr:afr111:v:8:y:2019:i:3:p:176

Access Statistics for this article

More articles in Accounting and Finance Research from Sciedu Press Contact information at EDIRC.
Bibliographic data for series maintained by Sciedu Press ().