IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v118y2013i1p143-147.html
   My bibliography  Save this article

Decomposing abnormal returns in stochastic linear models

Author

Listed:
  • Lin, Carl

Abstract

This paper presents a method helpful in analyzing the sources of return in an event study. A generalized decomposition result derived from the differential between two random linear functions attributes the effect of events or regulations on the value of firms to differences in economy-wide and individualistic factors. In aggregate decomposition, the abnormal return in the existing literature is equivalent to the coefficient effects. As an example, I take the market model in Card and Krueger (1995) showing that this approach helps provide additional insights.

Suggested Citation

  • Lin, Carl, 2013. "Decomposing abnormal returns in stochastic linear models," Economics Letters, Elsevier, vol. 118(1), pages 143-147.
    • Handle: RePEc:eee:ecolet:v:118:y:2013:i:1:p:143-147
    DOI: 10.1016/j.econlet.2012.09.035
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176512005423
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econlet.2012.09.035?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ben Jann, 2005. "Standard Errors for the Blinder-Oaxaca Decomposition," German Stata Users' Group Meetings 2005 03, Stata Users Group.
    2. Daniel A. Powers & Hirotoshi Yoshioka & Myeong-Su Yun, 2011. "mvdcmp: Multivariate decomposition for nonlinear response models," Stata Journal, StataCorp LP, vol. 11(4), pages 556-576, December.
    3. Yun, Myeong-Su, 2004. "Decomposing differences in the first moment," Economics Letters, Elsevier, vol. 82(2), pages 275-280, February.
    4. Gerald G. Brown & Herbert C. Rutemiller, 1977. "Means and Variances of Stochastic Vector Products with Applications to Random Linear Models," Management Science, INFORMS, vol. 24(2), pages 210-216, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Barr, Tavis & Lin, Carl, 2015. "A detailed decomposition of synthetic cohort analysis," Economics Letters, Elsevier, vol. 127(C), pages 76-80.
    2. Lin, Carl, 2011. "Decomposing Excess Returns in Stochastic Linear Models," IZA Discussion Papers 6237, Institute of Labor Economics (IZA).
    3. Michal Brzezinski, 2019. "Diagnosing Unhappiness Dynamics: Evidence from Poland and Russia," Journal of Happiness Studies, Springer, vol. 20(7), pages 2291-2327, October.
    4. Galperin, Hernan & Arcidiacono, Malena, 2021. "Employment and the gender digital divide in Latin America: A decomposition analysis," Telecommunications Policy, Elsevier, vol. 45(7).
    5. Peter Huber & Ulrike Huemer, 2015. "Gender Differences in Lifelong Learning: An Empirical Analysis of the Impact of Marriage and Children," LABOUR, CEIS, vol. 29(1), pages 32-51, March.
    6. Damien Girollet, 2024. "Digital divides among microenterprises: Evidence from sub‐Saharan Africa," Journal of International Development, John Wiley & Sons, Ltd., vol. 36(2), pages 1350-1380, March.
    7. Peter Huber & Doris A. Oberdabernig, 2013. "Does Migration Threaten the Sustainability of European Welfare States? WWWforEurope Working Paper No. 21," WIFO Studies, WIFO, number 46882.
    8. Asuyama, Yoko, 2021. "Determinants of job interestingness: Comparison of Japan and other high-income countries," Labour Economics, Elsevier, vol. 73(C).
    9. Ledyaeva, Svetlana & Linden, Mikael, 2006. "Foreign direct investment and economic growth : empirical evidence from Russian regions," BOFIT Discussion Papers 17/2006, Bank of Finland, Institute for Economies in Transition.
    10. Sırma Şeker & Stephen Jenkins, 2015. "Poverty trends in Turkey," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 13(3), pages 401-424, September.
    11. Juan Acosta-Ballesteros & María del Pilar Osorno-del Rosal & Olga María Rodríguez-Rodríguez, 2021. "Measuring the effect of gender segregation on the gender gap in time-related underemployment," Journal for Labour Market Research, Springer;Institute for Employment Research/ Institut für Arbeitsmarkt- und Berufsforschung (IAB), vol. 55(1), pages 1-16, December.
    12. Athina Economou & Christos Kollias, 2024. "The 2015 Refugee Crisis and Institutional Trust in European Countries," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 173(2), pages 377-396, June.
    13. Hirvonen, Kalle, 2016. "Rural–urban differences in children’s dietary diversity in Ethiopia: A Poisson decomposition analysis," Economics Letters, Elsevier, vol. 147(C), pages 12-15.
    14. Dang,Hai-Anh H. & Lanjouw,Peter F. & Serajuddin,Umar & Dang,Hai-Anh H. & Lanjouw,Peter F. & Serajuddin,Umar, 2014. "Updating poverty estimates at frequent intervals in the absence of consumption data : methods and illustration with reference to a middle-income country," Policy Research Working Paper Series 7043, The World Bank.
    15. Lin, Carl, 2012. "Less Myth, More Measurement: Decomposing Excess Returns from the 1989 Minimum Wage Hike," IZA Discussion Papers 6269, Institute of Labor Economics (IZA).
    16. ChangHwan Kim, 2010. "Decomposing the Change in the Wage Gap Between White and Black Men Over Time, 1980-2005: An Extension of the Blinder-Oaxaca Decomposition Method," Sociological Methods & Research, , vol. 38(4), pages 619-651, May.
    17. Tamás Bartus, 2006. "Marginal effects and extending the Blinder–Oaxaca decomposition for nonlinear models," United Kingdom Stata Users' Group Meetings 2006 05, Stata Users Group.
    18. Acosta-Ballesteros, Juan & Osorno-Del Rosal, Maria del Pilar & Rodríguez-Rodríguez, Olga Maria, 2021. "Measuring the effect of gender segregation on the gender gap in time-related underemployment," Journal for Labour Market Research, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], vol. 55, pages 1-22.
    19. Vincent Corluy & Gerlinde Verbist, 2014. "Can education bridge the gap? Education and the employment position of immigrants in Belgium," ImPRovE Working Papers 14/02, Herman Deleeck Centre for Social Policy, University of Antwerp.
    20. Abebe Hailemariam & Jaslin Kalsi & Astghik Mavisakalyan, 2024. "Gender gaps in the adoption of climate‐smart agricultural practices: Evidence from sub‐Saharan Africa," Journal of Agricultural Economics, Wiley Blackwell, vol. 75(2), pages 764-793, June.

    More about this item

    Keywords

    Abnormal returns; Oaxaca decomposition; Event study; Market model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
    • J38 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Public Policy

    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:eee:ecolet:v:118:y:2013:i:1:p:143-147. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    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.