Empirical Evidence and Value Effects
List of Symbols
CAPM: estimated alpha CAPM: estimated beta Regression: constant Regression: coefficient CAR Event study: Cumulative abnormal return Event study: abnormal return of firm i on day t i Event i Firm i Observation N Number of observations r Pearson’s sample correlation coefficient CAPM: stock return CAPM: market return Variability of the differences between two sample means t Event study: day t Testing: test statistic of standard T-test Regression: control variable Sample mean y Regression: dependent variable z Testing: Boehmer-Poulsen-Musumeci test statistic z Testing: Standardised Wilcoxon test statistic
You are not authenticated to view the full text of this chapter or article.
This site requires a subscription or purchase to access the full text of books or journals.
Do you have any questions? Contact us.Or login to access all content.