A Comparative Analysis of the Market Model and the Multiple-Factor Market Model

This study uses the framework of Patell (1979) to determine whether a multiple‐factor market model or a traditional market model is more effective for information content studies of multinational firms. The multiple‐factor market model is found to be superior to the traditional market model. Researc...

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Bibliographic Details
Published in:Journal of business finance & accounting 1997-06, Vol.24 (5), p.657-666
Main Author: Conover, Teresa L.
Format: Article
Language:English
Subjects:
Accounting
Comparative studies
Economic models
Effectiveness
Estimating techniques
global
Market
Multinational corporations
Multinational enterprises
multinational firms
multiple-factor market model
Multivariate analysis
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Summary:This study uses the framework of Patell (1979) to determine whether a multiple‐factor market model or a traditional market model is more effective for information content studies of multinational firms. The multiple‐factor market model is found to be superior to the traditional market model. Researchers wishing to test for information content for events with long event windows should consider using multiple factor models rather than the traditional market model, as it will increase the power of the test.
ISSN:0306-686X
1468-5957
DOI:10.1111/1468-5957.00127