• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Statistical Methods and Applications >Security price responses to unexpected earnings: a nonparametric investigation
【24h】

Security price responses to unexpected earnings: a nonparametric investigation

机译：证券价格对意外收益的响应：一项非参数调查

获取原文
获取原文并翻译 | 示例
       
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

The widely used linear model of the unexpected earnings/returns relationship has been challenged. In this article we propose a flexible nonparametric approach to study this relationship in which splines are used to approximate the unknown regression function. Spline confidence bands are constructed based on wild bootstrap to examine the adequacy of certain linearonlinear specifications. Monte Carlo results show that the proposed bands have excellent coverage of the true regression function with little computing load. These properties make the procedure highly recommended for extracting information from large and complicated datasets. The proposed approach has also been applied to the real world financial data from the unexpected earnings/returns study, and we find significant evidence of nonlinearity. The nonlin-earity persists when we control the measurement errors of the earning surprises and firm size.
机译：意外收益/收益关系的广泛使用的线性模型已经受到挑战。在本文中，我们提出了一种灵活的非参数方法来研究这种关系，其中样条曲线用于近似未知回归函数。样条曲线置信带基于野生自举构建，以检查某些线性/非线性规格的适当性。蒙特卡洛结果表明，所提出的频带具有很小的计算负荷，可以很好地覆盖真实的回归函数。这些属性使该过程强烈推荐用于从大型和复杂的数据集中提取信息的过程。所提出的方法也已应用于意外收入/回报研究中的现实世界财务数据，并且我们发现了非线性的重要证据。当我们控制盈余惊喜和公司规模的计量误差时，长期亏损会持续存在。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号