Bias Dari Penggunaan Model Di MBar

• Main Author: Perpustakaan UGM, i-lib
• Format: Article NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 1999
• Subjects: Jurnal i-lib UGM
• Online Access: https://repository.ugm.ac.id/20913/; http://i-lib.ugm.ac.id/jurnal/download.php?dataId=3771
• Institution: Universitas Gadjah Mada

ABSTRACT This paper discusses biases that occurred on level, return and event study models. In a prices lead earnings condition, the coefficient in the level model is unbiased, while that in the return model is biased In a prices do not lead earnings condition, both level and earnings models yield unbiased coefficients economically. In general, the level model suffers more serious bias econometrically than does the return model. In an event study, daily returns with equally-weighted index are able to detect abnormal returns better than are monthly returns with value-weighted index. When announcements are clustered in calender events, the market model or the marketadjustement model is less biased than the mean-adjusted model. But when event dates are not clustered a simple model such as the mean-adjusted model is not worse than other models. Katakunci: penggunaan model di MBAR