A Simulation Investigation of Firm-Specific Equation Models as Used in Accounting Information Event Studies

Walter Teets and Robert Parks
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Walter Teets: UIUC

Econometrics from University Library of Munich, Germany

Abstract: Researchers studying stock price reactions to accounting information releases can choose among several statistical methods/models. We investigate the empirical distribution of common statistics used in SUR and OLS estimation via monte-carlo methods on daily stock return data. We find that the SUR statistics over reject the null hypothesis far too often and in fact the commonly used SAS F-statistic rejects the null more often than other related statistics. We give some indication of the amount of correction needed and also the corrected power statistics.

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 35 pages
Date: 1993-07-28
Note: LaTeX document 35 pages (some LaTeX's do not like bold math)
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