Derived factors in event studies

Stephen J. Brown, Mark I. Weinstein

Research output: Contribution to journalArticleResearchpeer-review

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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 languageEnglish
Pages (from-to)491-495
Number of pages5
JournalJournal of Financial Economics
Issue number3
Publication statusPublished - 1 Jan 1985
Externally publishedYes

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