MEASURING SECURITY PRICE PERFORMANCE
MEASURING SECURITY PRICE PERFORMANCE
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DOI：
10.1016/0304-405x(80)90002-1
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发表时间：
1980-01-01
影响因子：
8.9
通讯作者：
WARNER, JB
中科院分区：
文献类型：
--
作者：
BROWN, SJ;WARNER, JB
事件研究侧重于特定类型的公司特定事件对受影响公司证券价格的影响。本文利用股票收益率的观测数据，对事件研究中用于衡量证券价格表现的各种方法进行了检验。异常性能被引入该数据。我们发现，一个简单的方法的基础上的市场模型在各种各样的条件下表现良好。在某些情况下，即使是没有明确调整市场因素或风险的简单方法，其表现也不会比市场模型差。我们还展示了如何滥用的任何方法可能会导致错误的推断存在异常的性能。
Event studies focus on the impact of particular types of firm-specific events on the prices of the affected firms' securities. In this paper, observed stock return data are employed to examine various methodologies which are used in event studies to measure security price performance. Abnormal performance is introduced into this data. We find that a simple methodology based on the market model performs well under a wide variety of conditions. In some situations, even simpler methods which do not explicitly adjust for marketwide factors or for risk perform no worse than the market model. We also show how misuse of any of the methodologies can result in false inferences about the presence of abnormal performance.