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Original Articles

Misspecification of the market model: the implications for event studies

Pages 163-165 | Published online: 05 Oct 2010

References

  • Butler , R. J. , McDonald , J. B. , Nelson , R. D. and White , S. B. 1990 . Robust and partially adaptive estimation of regression models . Review of Economics and Statistics , 72 : 321 – 327 .
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  • McDonald , B. and Lee , C. F. 1988 . An analysis of non-linearities, heteroscedascity and functional form in the market model . Journal of Business and Economic Statistics , 6 : 505 – 509 .
  • Mills , T. C. and Coutts , J. A. Estimating Betas for the FT-SE industry baskets: misspecification testing and robust estimation of the market model . Finance and Market Based Accounting Research Conference . September . University of Manchester .
  • Mills , T. C. , Coutts , J. A. and Roberts , J. 1994 . “ Misspecification testing and robust estimation of the market model and their implications for event studies ” . In Hull Economic Research Paper
  • Strong , N. 1992 . Modelling abnormal returns: a review article . Journal of Business Finance and Accounting , 19 : 533 – 553 .

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