An Examination of Event Dependency and Structural Change in Security Pricing Models
研究公司特定事件期间系统性风险的变化，提出一种考虑异方差性的统计量来检验市场模型的结构变化，并证明在效率研究中强加统一事件期会导致偏差，通过股票分割样本展示逐案确定事件区间更合适。
This paper considers two aspects of the tendency for systematic risk to change during the period surrounding a firm-specific event. First, a statistic allowing for heteroskedasticity is presented as a means of more precisely testing for the incidence of structural change in the market model. Secondly, the bias resulting from the imposition of a single, arbitrary event period on every firm in a market efficiency study is formally demonstrated. Using a sample based upon stock splits, the switching regression technique of Quandt is then adapted to show that event intervals are more appropriately considered on a case-by-case basis. A comparison of alternative residual measures illustrates these procedures.