Derived factors in event studies

Stephen J. Brown; Mark I. Weinstein

doi:10.1016/0304-405X(85)90010-8

Derived factors in event studies

Stephen J. Brown, Mark I. Weinstein

Research output: Contribution to journal › Article › Research › peer-review

43 Citations (Scopus)

Abstract

We examine the utility of the statistical factor model of the process generating stock returns in the context of event studies. For a variety of estimation procedures and experimental designs we find limited value added relative to the use of a simple market model. We would attribute this finding to misspecification of the statistical factor analysis model, and suspect that there exist more robust procedures for estimating the factor structure of stock returns.

Original language	English
Pages (from-to)	491-495
Number of pages	5
Journal	Journal of Financial Economics
Volume	14
Issue number	3
DOIs	https://doi.org/10.1016/0304-405X(85)90010-8
Publication status	Published - 1 Jan 1985
Externally published	Yes

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title = "Derived factors in event studies",

abstract = "We examine the utility of the statistical factor model of the process generating stock returns in the context of event studies. For a variety of estimation procedures and experimental designs we find limited value added relative to the use of a simple market model. We would attribute this finding to misspecification of the statistical factor analysis model, and suspect that there exist more robust procedures for estimating the factor structure of stock returns.",

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Derived factors in event studies

Abstract

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