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| Event Study (CAR og BHAR)× | Likviditetsrisikomodeller (Amihud, Roll, LOT)× | |
|---|---|---|
| Fagområde | Finansiering | Finansiering |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1997 | 2002 |
| Ophavsperson≠ | MacKinlay (review); Kothari & Warner (econometrics) | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) |
| Type≠ | Abnormal-return model for financial events | Liquidity / illiquidity measurement models |
| Oprindelig kilde≠ | MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1), 13–39. link ↗ | Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. DOI ↗ |
| Aliasser≠ | event study, cumulative abnormal return analysis, abnormal return analysis, CAR | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure |
| Relaterede≠ | 4 | 5 |
| Resumé≠ | The event study is a financial research method that measures the impact of a news release, policy change, or corporate event on asset prices through cumulative abnormal returns. Reviewed by MacKinlay (1997) and formalised econometrically by Kothari and Warner (2007), it is the standard tool for testing the efficient-market hypothesis and analysing the information content of events. | Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure. |
| ScholarGateDatasæt ↗ |
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