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Robust inference in single firm/single event analyses

Author

Listed:
  • Ralf Elsas
  • Daniela S. Schoch

    (EM - EMLyon Business School)

Abstract

"Single firm/single event (SFSE) studies are relevant in corporate finance. Since inference on abnormal returns in this context necessarily relies on the time series variance of these abnormal returns, the implied problem of heteroscedasticity is obvious, although hard to solve. We analyze robust inference in an SFSE setting using Monte Carlo and resampling experiments. Estimation is biased when the calibration and event period occur in different volatility regimes. We develop a unique specification test for these structural breaks. The most robust inference is obtained by using intraday data and a multiplicative component GARCH estimator."

Suggested Citation

  • Ralf Elsas & Daniela S. Schoch, 2023. "Robust inference in single firm/single event analyses," Post-Print hal-04325672, HAL.
    • Handle: RePEc:hal:journl:hal-04325672
    as

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    Cited by:

    1. Mehdian, Seyed & Gherghina, Ștefan Cristian & Stoica, Ovidiu, 2024. "Intraday financial markets’ response to U.S. bank failures," Finance Research Letters, Elsevier, vol. 60(C).

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