Hi: Thanks for the correction and reference. Eric uses monthly returns in
the example
in his book and  I would think that using daily data would result in very
unstable betas but I've been wrong before. Hopefully others can comment.



Mark



On Fri, May 25, 2012 at 12:44 PM, and_mue <and_mueller@bluewin.ch> wrote:

> 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:
> źjt=Rjt-(āj+bj*Rmt)
> aj and bj are the estimatet coefficients from the equation above.
>
> --
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