Risk Measurement for Event-Dependent Security Returns
推广了随机系数模型，逐案检验事件期内系统风险和非系统风险的凹性，发现非系统风险呈凹性而系统风险并非如此，修正了以往研究结论。
AbstractFinancial economists often test security pricing models for the destabilizing effects of informational uncertainty. In particular, Bar-Yosef and Brown (1977) examined the market model and concluded that systematic risk is concave during stock-split event periods. Unsystematic risk, however, was assumed constant. Further steps are taken in this article. A generalization of the random coefficients model of Hildreth and Houck (1968) is conducted, and case-by-case testing for event-period concavity of both systematic and unsystematic risk is conducted. In contrast to past findings, the results support concavity for unsystematic risk, not systematic risk.KEY WORDS: Market modelSystematic risk, Unsystematic riskEvent-time studySwitching regression modelRandom-coefficients model