For the analysis I follow the approach of Keown & Pinkerton ( http://e-m-h.org/KePi81.pdf http://e-m-h.org/KePi81.pdf ). They do also use daily data to compute alphas and betas of the market model. These estimated coefficients are then used to estimate abnormal returns for a given period.
market model would be: Rjt=ajt+bjt*Rmt+ejt Rjt is the return of company j on day t Rmt is the return of the market on day t (Index) ejt is the unsystematic component of firm j's return after estimation I want to estimate abnormal returns: êjt=Rjt-(âj+bj*Rmt) aj and bj are the estimatet coefficients from the equation above. -- View this message in context: http://r.789695.n4.nabble.com/Problem-with-Autocorrelation-and-GLS-Regression-tp4631336p4631355.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
