TY  - JOUR
AU  - Levinsohn,James A.
AU  - MacKie-Mason,Jeffrey K.
TI  - A Simple, Consistent Estimator for Disturbance Components in Financial Models
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 80
PY  - 1989
Y2  - October 1989
UR  - http://www.nber.org/papers/t0080
L1  - http://www.nber.org/papers/t0080.pdf
N1  - Author contact info:
James A. Levinsohn
Yale School of Management
PO Box 208200
New Haven, CT  06520
Tel: 734/763-2319
Fax: 734/764-2769
E-Mail: James.Levinsohn@yale.edu

Jeffrey K. MacKie-Mason
Department of Economics
462 Lorch Hall
Ann Arbor, MI  48109-1220
Tel: 47/228-55127 or 47/2285-5035 fax
E-Mail: jmm@umich.edu
AB  - 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.
ER  -