A Simple, Consistent Estimator for Disturbance Components in Financial Models
指出一些论文中用于估计股票收益扰动成分的计量方法有偏且不一致，并提出一个简单易行的替代方法，其估计量具有一致性。
Many recent papers have estimated components of the disturbance term in the market 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.