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Analyzing Financial Market Data
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ANCOVA announcement effects Appendix assume assumptions asymptotically average beta coefficient bj Rmt boxplots Chapter classical pooled coefficient estimates coefficient means coefficient vector contemporaneous correlation Corporation covariance matrix cross-sectional units degrees of freedom dependent variable different from zero distribution dummy variable equal to zero error components model examined explanatory variables F-test fixed coefficient individual firm individual units inference intercepts linear model Maddala market model mixed RCR model model specification month of announcement negative variance estimates null hypothesis number of parameters obtain OLS estimates parameter estimates partition period of announcement price effects procedure Random Coefficient Regression rate of return RCR Estimates regression equations repurchase announcement residual analysis schema Section Seemingly Unrelated Regressions serial correlation series data significance simultaneous test slope coefficients small sample properties standard error stock repurchase Swamy Swamy's systematic risk t-statistic tender offer test statistic V(bj Var(bj variance-covariance matrix vector of random Zellner