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Initial Public Offerings (IPO)
book

Initial Public Offerings (IPO)

by Greg N. Gregoriou
December 2005
Intermediate to advanced content levelIntermediate to advanced
464 pages
23h 14m
English
Butterworth-Heinemann
Content preview from Initial Public Offerings (IPO)
The larger the F-statistic, the more confident one is in rejecting the null hypothesis
of no structural change in the CAPM relationship. We expect the CAPM relationship
to hold for time periods before and after the crisis, and indeed it does hold, but the
coefficients change significantly. This is just like a break in the line indicating CAPM.
For instance, the F-statistic 10.796 belonging to sector TOUR in Table 4.5 indi-
cates a significant break on the crisis day of the Turkish economy.
4.4 Long-run relationship of the CAPM
In this section we explore the long-run relationship of the CAPM using cointegration
theory (Granger, 1981; Engle and Granger ...
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Publisher Resources

ISBN: 9780750679756