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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/17601

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/17601

    Title: A comparison of alternative expected return estimation models for event studies: A simulation approach
    Authors: 劉永欽;Liu, Yong-Chin
    Contributors: 財務金融學系
    Keywords: GARCH ; Event Study ; Three-Factor Model 3FM ; Four-Factor Model 4FM ; Jensen's Performance Index ; GARCH
    Date: 2010-03
    Issue Date: 2012-11-26 10:37:37 (UTC+8)
    Abstract: This paper compares the performance of four expected return estimation models-the MM, CAPM, 3FM, and 4FM-separately using OLS estimator, GARCH model, and mix of OLS and GARCH-for finding AR in traditional short-horizon event study, using simulation experiments. Moreover, Jensen's performance index is employed to evaluate the last three models. The conclusions are that under a traditional framework, OLS is not inferior to the other complex estimators. 3FM and 4FM somewhat dominate the MM and CAPM because of lower estimation bias and slightly smaller Type I error, though the last two models' performance is already satisfactory. Under Jensen's performance index, CAPM is superior to 3FM and 4FM due to lower Type I error and higher power. Both event-study frameworks have weak power in experiencing uncertain event day and/or tiny AR.
    Relation: 亞太經濟管理評論
    Appears in Collections:[財務金融學系] 期刊論文

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