Distortion Effects and Extreme Observations in Empirical Research: An Analysis of the Incremental Information Content of Cash Flows
AbstractLinear regression models have been used in a number of studies examining the presence or absence of incremental information contents in cash flow. The results of these studies have not been consistent. This paper draws attention to the critical issue of extreme observations in the data. Extreme observations which exert undues influence on the parameter estimates in a regression model are shown ti cause results which whilst statistically significant may be invalid.
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Bibliographic InfoPaper provided by Melbourne - Centre in Finance in its series Papers with number 96-1.
Length: 20 pages
Date of creation: 1996
Date of revision:
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Postal: Centre in Finance, Department of Economics and Finance, Faculty of Business, RMIT GPO Box 2476V Melbourne, Vic 3000 Australia.
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Web page: http://www.rmit.edu.au/bus/ecofin
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LINEAR MODELS; REGRESSION ANALYSIS; CAPITAL MARKET;
Find related papers by JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- E22 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
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