IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v21y1986i01p27-38_01.html
   My bibliography  Save this article

Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares

Author

Listed:
  • Malatesta, Paul H.

Abstract

Event studies generally seek to measure abnormal security performance associated with firm-specific events. In principle, estimators of and tests for abnormal performance should appropriately reflect cross-sectional dependence between abnormal returns to different securities. Joint generalized least squares provides a natural framework for developing such estimators and tests. This paper derives a joint generalized least squares estimator and related test statistic applicable in the typical event study context. Simulation techniques comparable to those of Brown and Warner [2] are used to assess the frequency distribution of the estimator and power of the test statistic. Several simpler procedures are simulated for comparison. The results provide no evidence that joint generalized least squares is superior to simpler procedures.

Suggested Citation

  • Malatesta, Paul H., 1986. "Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(1), pages 27-38, March.
    • Handle: RePEc:cup:jfinqa:v:21:y:1986:i:01:p:27-38_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000011935/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:21:y:1986:i:01:p:27-38_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.