IDEAS home Printed from https://ideas.repec.org/p/wpa/wuwpem/9307001.html
   My bibliography  Save this paper

A Simulation Investigation of Firm-Specific Equation Models as Used in Accounting Information Event Studies

Author

Listed:
  • Walter Teets

    (UIUC)

  • Robert P. Parks

    (Washington University)

Abstract

Researchers studying stock price reactions to accounting information releases can choose among several statistical methods/models. We investigate the empirical distribution of common statistics used in SUR and OLS estimation via monte-carlo methods on daily stock return data. We find that the SUR statistics over reject the null hypothesis far too often and in fact the commonly used SAS F-statistic rejects the null more often than other related statistics. We give some indication of the amount of correction needed and also the corrected power statistics.

Suggested Citation

  • Walter Teets & Robert P. Parks, 1993. "A Simulation Investigation of Firm-Specific Equation Models as Used in Accounting Information Event Studies," Econometrics 9307001, EconWPA.
  • Handle: RePEc:wpa:wuwpem:9307001
    Note: LaTeX document 35 pages (some LaTeX's do not like bold math)
    as

    Download full text from publisher

    File URL: http://econwpa.repec.org/eps/em/papers/9307/9307001.tex
    Download Restriction: no

    File URL: http://econwpa.repec.org/eps/em/papers/9307/9307001.pdf
    Download Restriction: no

    File URL: http://econwpa.repec.org/eps/em/papers/9307/9307001.ps.gz
    Download Restriction: no

    References listed on IDEAS

    as
    1. Malatesta, Paul H., 1986. "Measuring Abnormal Performance: The Event Parameter Approach Using Joint Generalized Least Squares," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(01), pages 27-38, March.
    2. repec:bla:joares:v:23:y:1985:i:1:p:408-415 is not listed on IDEAS
    3. McDonald, Bill, 1987. "Event Studies and Systems Methods: Some Additional Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(04), pages 495-504, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:9307001. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: http://econwpa.repec.org .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.