The revision of systematic risk on earnings announcement in the presence of conditional heteroscedasticity (Q5139470)
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scientific article; zbMATH DE number 7283265
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| English | The revision of systematic risk on earnings announcement in the presence of conditional heteroscedasticity |
scientific article; zbMATH DE number 7283265 |
Statements
The Revision of Systematic Risk on Earnings Announcement in the Presence of Conditional Heteroscedasticity (English)
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9 December 2020
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ARCH (autoregressive conditional heteroscedasticity)
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CAPM
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Kalman filter
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post-earnings-announcement drifts
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0.6617017388343811
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0.6448517441749573
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0.6407790184020996
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0.637043833732605
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0.6349039077758789
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