A Simple, Consistent Estimator for Disturbance Components in Financial Models
收藏NBER1989-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0080
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资源简介：
Many recent papers have estimated components of the disturbance term in the "market model" of equity returns. In particular, several studies of regulatory changes and other policy events have decomposed the event effects in order to allow for heterogeneity across firms. In this paper we demonstrate
提供机构：
美国国家经济研究局
创建时间：
1989-10-01
