NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

A Simple, Consistent Estimator for Disturbance Components in Financial Models

James A. Levinsohn, Jeffrey K. MacKie-Mason

NBER Technical Working Paper No. 80
Issued in October 1989
NBER Program(s):   ME

Many recent papers have estimated components of the disturbance term in the "market model" of equity returns. In particular, several studies of regulatory changes and other policy events have decomposed the event effects in order to allow for heterogeneity across firms. In this paper we demonstrate that the econometric method applied in some papers yields biased and inconsistent estimates of the model parameters. We demonstrate the consistency of a simple and easily-implemented alternative method.

download in pdf format
   (1057 K)

email paper

This paper is available as PDF (1057 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/t0080

Published: The Review of Economics and Statistics, Vol. LXXII, No. 3, pp. 516-520, August 1990.

 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us