Hostname: page-component-6898cfcb55-th4rj Total loading time: 0 Render date: 2026-11-11T20:27:59.875Z Has data issue: false hasContentIssue false
  • English
  • Français

Event Studies and Systems Methods: Some Additional Evidence

Published online by Cambridge University Press:  06 April 2009

Bill McDonald
Get accessRights & Permissions [Opens in a new window]

Abstract

This paper extends a recent study by Malatesta [14] on measuring abnormal performance using joint generalized least squares. For monthly data and a random sample of securities, Malatesta finds that there is little benefit in using more sophisticated econometric techniques to identify abnormal returns. The current study extends these results using a design that is more amenable to the benefits of the generalized methods and is consistent with actual event studies. Most notably, the study uses a sample of securities experiencing an actual event and tests both monthly and daily data. In addition, iterative techniques are compared to the ordinary least squares and estimated generalized least squares methods. The results of this study support the original conclusions of Malatesta, indicating no measurable gain in using any of the systems methods for event study applications.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 4 , December 1987, pp. 495 - 504
Copyright
Copyright © School of Business Administration, University of Washington 1987

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

[1]Amsler, C., and Schmidt, “A Monte Carlo Investigation of the Accuracy of Multivariate CAPM Tests.” Journal of Financial Economics, 14 (09 1985), 349–358.CrossRefGoogle Scholar
[2]Binder, J. “On the Use of the Multivariate Regression Model in Event Studies. ”Journal of Accounting Research, 23 (Spring 1985), 370–383.CrossRefGoogle Scholar
[3]Binder, J.“Measuring the Effects of Regulation with Stock Price Data ”Rand Journal of Economics, 16 (Summer 1985), 167–183.CrossRefGoogle Scholar
[4]Brown, S., and Warner, J.. “Measuring Security Price Performance. ”Journal of Financial Economics, 8 (09. 1980), 205–258.CrossRefGoogle Scholar
[5]Brown, S., and Warner, J.. “Using Daily Stock Returns in Event Studies. ”Journal of Financial Economics, 14 (03 1985), 3–31.CrossRefGoogle Scholar
[6]Collins, D., and Dent, W.. “A Comparison of Alternative Testing Methodologies Used in Capital Market Research.”Journal of Accounting Research, 22 (Spring 1984), 48–84.CrossRefGoogle Scholar
[7]Gibbons, M. “Econometric Models for Testing a Class of Financial Models: An Application of the Nonlinear Multivariate Regression Model.” Ph.D.Diss., Univ. of Chicago (1980).Google Scholar
[8]Hughes, J., and Ricks, W.. “Accounting for Retail Land Sales: Analysis of Mandated Change.” Journal of Accounting and Economics, 6 (08. 1984), 101–132.CrossRefGoogle Scholar
[9]Hughes, J., and Ricks, W.. “Note on the Properties of Certain Test Statistics Employed in Event Studies.”Mimeo (02 1984).Google Scholar
[10]Jobson, J., and Korkie, B.. ”Potential Performance and Tests of Portfolio Efficiency. ”Journal of Financial Economics, 10 (12. 1982), 433–466.CrossRefGoogle Scholar
[11]Kmenta, J., and Gilbert, R.. ”Small Sample Properties of Alternative Estimators of Seemingly Unrelated Regressions. ”Journal of the American Statistical Association, 63 (12. 1968), 1180–1200.CrossRefGoogle Scholar
[12]Maddala, G.Econometrics. New York: McGraw-Hill Book Co. (1977).Google Scholar
[13]Magnus, J. “Maximum Likelihood Estimation of the GLS Model with Unknown Parameters in the Disturbance Covariance Matrix. ”Journal of Econometrics, 7 (01 1978, 281–312.CrossRefGoogle Scholar
[14]Malatesta, P. “Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares.” Journal of Financial and Quantitative Analysis, 21 (03 1986), 27–38.CrossRefGoogle Scholar
[15]Schipper, K., and Thompson, R.. “The Impact of Merger-Related Regulations on the Shareholders of Acquiring Firms.” Journal of Accounting Research, 21 (Spring 1983), 184–221.CrossRefGoogle Scholar
[16]Schipper, K., and Thompson, R.. “The Impact of Merger-Related Regulations Using Exact Distributions of Test Statistics” Journal of Accounting Research, 23 (Spring 1985), 408–415.CrossRefGoogle Scholar
[17]Shanken, J. “Multivariate Tests of the Zero-Beta CAPM.” Journal of Fnancial Economics, 14 (Sept. 1985), 327–348.Google Scholar
[18]Stambaugh, R. “On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis”. Journal of Financial Economics, 10 (11. 1982), 237–268.CrossRefGoogle Scholar
[19]Thompson, R. “Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods. ”Journal of Financial and Quantitative Analysis, 20 (02 1985), 151–168.CrossRefGoogle Scholar