Risk Measurement for Event-Dependent Security Returns
事件依赖证券收益的风险测度
Financial economists often test security pricing models for the destabilizing effects of informational uncertainty. In particular, Bar-Yosef and Brown (1977) examined the market model and concluded that systematic risk is concave during stock-split event periods. Unsystematic risk, however, was assumed constant. Further steps are taken in this article. A generalization of the random coefficients model of Hildreth and Houck (1968) is conducted, and case-by-case testing for…