Skip to Main Content
Handbook of Empirical Corporate Finance SET
book

Handbook of Empirical Corporate Finance SET

by Bjørn Espen Eckbo
December 2008
Intermediate to advanced content levelIntermediate to advanced
520 pages
43h 42m
English
North Holland
Content preview from Handbook of Empirical Corporate Finance SET

5.4 Robustness issues

The matched-firm technique discussed above uses firm characteristics (size and B/M) to adjust for priced risks, while the factor regression approach uses a set of pre-specified portfolios as proxies for pervasive risks. Either approach suffers from potential “bad model” problems in terms of representing the true asset pricing model. Since tests for abnormal returns are always a joint test of the risk factors assumed to generate expected return, it is therefore useful to provide information on the sensitivity of abnormal return estimates to alternative model specifications. Moreover, factor regressions may suffer from non-stationarity in the estimated parameters that may be predictable using publicly available information. ...

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

Handbook of Empirical Corporate Finance

Handbook of Empirical Corporate Finance

B. Espen Eckbo
Corporate Finance, 4th Edition

Corporate Finance, 4th Edition

Pierre Vernimmen, Pascal Quiry, Maurizio Dallocchio, Yann Le Fur, Antonio Salvi
Handbook of Economic Forecasting

Handbook of Economic Forecasting

Graham Elliott, Allan Timmermann

Publisher Resources

ISBN: 9780444532657