Consistent Estimation of Cross-Sectional Models in Event Studies
指出，当事件是自愿的且投资者理性时，标准OLS和GLS估计量不一致，并构建了用于横向并购事件研究的一致ML估计量。实证发现，竞标方管理层对并购协同效应拥有有价值的私有信息。
Event studies often include cross-sectional regressions of announcement effects on exogenous variables. If the event is voluntary and investors are rational, then standard OLS and GLS estimators are inconsistent. Consistent ML estimators are constructed for a cross-sectional model of horizontal mergers relating announcement effects to exgeneous characteristics of firms and industries. The OLS and ML estimates differ dramatically for bidders but not for targets. The evidence suggests that managers of bidders, but not targets, have valuable private information about the potential synergies from proposed mergers. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.