The Use of Changes in Equity Value as a Measure of the Information Content of Announcements of Changes in Financial Policy
探讨了用公告前后权益价值变化作为解释变量研究财务政策变更信息含量的方法，发现这会导致普通最小二乘估计严重偏误，并影响统计检验效力，最后提出部分修正偏误的估计方法。
Recent work uses the change in equity value surrounding an announcement of a change in financial policy as an explanatory variable in regressions that examine whether changes in financial policy convey information about firm performance. We explore the methodological and econometric issues of this approach and show that using the change in equity value as an explanatory variable can severely bias ordinary least squares estimates. We demonstrate the effect of this bias on standard statistical tests and conclude that the bias has a significant impact on the power of these tests. We propose an estimator to partially correct the biases.