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A Comparative Analysis of the Market Model and the Multiple‐Factor Market Model

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  • Teresa L. Conover

Abstract

This study uses the framework of Patell (1979) to determine whether a multiple‐factor market model or a traditional market model is more effective for information content studies of multinational firms. The multiple‐factor market model is found to be superior to the traditional market model. Researchers wishing to test for information content for events with long event windows should consider using multiple factor models rather than the traditional market model, as it will increase the power of the test.

Suggested Citation

  • Teresa L. Conover, 1997. "A Comparative Analysis of the Market Model and the Multiple‐Factor Market Model," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 657-666, June.
    • Handle: RePEc:bla:jbfnac:v:24:y:1997:i:5:p:657-666
    DOI: 10.1111/1468-5957.00127
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    Cited by:

    1. Ali Alp & Unsal Ban & Kartal Demirgunes & Saim Kilic, 2010. "Internal Determinants of Profitability in Turkish Banking Sector," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(46), pages 1-14.
    2. Huffman, Stephen P. & Makar, Stephen D. & Beyer, Scott B., 2010. "A three-factor model investigation of foreign exchange-rate exposure," Global Finance Journal, Elsevier, vol. 21(1), pages 1-12.
    3. repec:bor:iserev:v:12:y:2012:i:46:p:49-83 is not listed on IDEAS
    4. Yener Coskun, 2010. "Why Turkish Securities Firms Have Not Transformed to Full Service Investment Banks?: An Assessment For the Near Future of the Turkish Securities Firms Industry," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(46), pages 15-48.
    5. repec:bor:iserev:v:12:y:2012:i:46:p:1-14 is not listed on IDEAS
    6. Nathalia Angelina Lucas & Jenry Cardo Manurung & Adler Haymans Manurung & Bahtiar Usman, 2019. "The analysis of market timing, exchange rate of us dollar, and inflation to equity fund performance during 2011-2017," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(5), pages 1-7.
    7. repec:bor:iserev:v:12:y:2012:i:46:p:15-48 is not listed on IDEAS
    8. Serkan Yilmaz Kandir & Ahmet Erismis, 2010. "Investigating Exchange Rate Exposure of Bank Shares: Empirical Evidence From ISE," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(46), pages 49-83.

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