Decomposing abnormal returns in stochastic linear models
AbstractThis paper presents a method helpful in analyzing the sources of return in an event study. A generalized decomposition result derived from the differential between two random linear functions attributes the effect of events or regulations on the value of firms to differences in economy-wide and individualistic factors. In aggregate decomposition, the abnormal return in the existing literature is equivalent to the coefficient effects. As an example, I take the market model in Card and Krueger (1995) showing that this approach helps provide additional insights.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 118 (2013)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/ecolet
Abnormal returns; Oaxaca decomposition; Event study; Market model;
Find related papers by JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
- J38 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Public Policy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Yun, Myeong-Su, 2003.
"Decomposing Differences in the First Moment,"
IZA Discussion Papers
877, Institute for the Study of Labor (IZA).
- Gerald G. Brown & Herbert C. Rutemiller, 1977. "Means and Variances of Stochastic Vector Products with Applications to Random Linear Models," Management Science, INFORMS, vol. 24(2), pages 210-216, October.
- Ben Jann, 2005. "Standard Errors for the Blinder-Oaxaca Decomposition," German Stata Users' Group Meetings 2005 03, Stata Users Group.
- Daniel A. Powers & Hirotoshi Yoshioka & Myeong-Su Yun, 2011. "mvdcmp: Multivariate decomposition for nonlinear response models," Stata Journal, StataCorp LP, vol. 11(4), pages 556-576, December.
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