Exclusion period and market model parameter nonstationarities in price reaction studies

Michael Theobald

Contemporary Accounting Research, 1985, vol. 2, issue 1, 1-22

Abstract: Abstract. 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.

Date: 1985
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https://doi.org/10.1111/j.1911-3846.1985.tb00604.x

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Persistent link: https://EconPapers.repec.org/RePEc:wly:coacre:v:2:y:1985:i:1:p:1-22

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