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Abnormal Returns Measurement and Hypotheses Development

Abstract

Abnormal stock returns are in the focus of many different research questions. There is, however, an extensive debate in the literature on how abnormal returns should be estimated. This section critically reviews this debate and provides a rationale for the approach as applied in this work. A reader whose interest in methodological issues is limited might want to continue with Section 4.2. In short, the approach used in this work is a calendar-time approach where monthly expected portfolio returns are described by an asset pricing model.

Keywords

Abnormal Return Information Risk Discretionary Accrual Asset Price Model Abnormal Performance 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Gabler | GWV Fachverlage GmbH, Wiesbaden 2008

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