On the Use of Alternate Methodologies in Detecting Abnormal Performance With Cal
On the Use of Alternate Methodologies in Detecting Abnormal Performance With Cal
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Both these factors contribute to the higher rejection frequencies for EGLS. When the number of available time-series observations per estimated parameters is about 10 (i. E. N/T - 0. 2), the EGLS estimator of standard error is about 75% of the true standard error. If there are only four times as many time -series observations available as the estimated parameters (i. E, N/T - 0. 5), the EGLS estimator of standard error is likely to be less than 50% of the true standard error. 3. 3 ROBUSTNESS OF... THE RESULTS TO THE CHOICE OF THE INDEX To check the robustness of the results on the performance of alternate methodologies to the choice of market index, all the experiments are redone using the CRSP value -weighted index. For these simulations, most of the market model statistics are similar to those using an equally-weighted index, except that the average values of cross-correlation (irrespective of firms' industries) and within- industry correlation in residuals are about 1% and 2% respectively for daily data and 3% and 6% respectively for weekly data.
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To quickly assess the difficulty of the text, read a short excerpt:
Both these factors contribute to the higher rejection frequencies for EGLS. When the number of available time-series observations per estimated parameters is about 10 (i. E. N/T - 0. 2), the EGLS estimator of standard error is about 75% of the true standard error. If there are only four times as many time -series observations available as the estimated parameters (i. E, N/T - 0. 5), the EGLS estimator of standard error is likely to be less than 50% of the true standard error. 3. 3 ROBUSTNESS OF... THE RESULTS TO THE CHOICE OF THE INDEX To check the robustness of the results on the performance of alternate methodologies to the choice of market index, all the experiments are redone using the CRSP value -weighted index. For these simulations, most of the market model statistics are similar to those using an equally-weighted index, except that the average values of cross-correlation (irrespective of firms' industries) and within- industry correlation in residuals are about 1% and 2% respectively for daily data and 3% and 6% respectively for weekly data.
What to read after On the Use of Alternate Methodologies in Detecting Abnormal Performance With Cal?
You can find similar books in the "Read Also" column, or choose other free books by Ravi Bhushan to read onlineMoreLess
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