Parametric & nonparametric approaches to event studies: an application to a hotel’s market value

Please use this identifier to cite or link to this item: http://hdl.handle.net/10045/23318
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Title: Parametric & nonparametric approaches to event studies: an application to a hotel’s market value
Authors: Nicolau, Juan Luis
Research Group/s: Marketing
Center, Department or Service: Universidad de Alicante. Departamento de Marketing
Keywords: Abnormal returns | Hotel opening | Market value
Knowledge Area: Comercialización e Investigación de Mercados
Issue Date: Apr-2001
Publisher: Instituto Valenciano de Investigaciones Económicas
Citation: NICOLAU, Juan Luis. “Parametric & nonparametric approaches to event studies: an application to a hotel’s market value”. Working Papers (Instituto Valenciano de Investigaciones Económicas). WP-AD 2001-08
Abstract: The main objective of this paper is twofold: on the one hand, to analyse the impact that the announcement of the opening of a new hotel has on the performance of its chain by carrying out an event study, and on the other hand, to compare the results of two different approaches to this method: a parametric specification based on the autoregressive conditional heteroskedasticity models to estimate the market model, and a nonparametric approach, which implies employing Theil’s nonparametric regression technique, which in turn, leads to the so-called complete nonparametric approach to event studies. The results that the empirical application arrives at are noteworthy as, on average, the reaction to such news releases is highly positive, both approaches reaching the same level of significance. However, a word of caution must be said when one is not only interested in detecting whether the market reacts, but also in obtaining an exhaustive calculation of the abnormal returns to further examine its determining factors.
URI: http://hdl.handle.net/10045/23318
Language: eng
Type: info:eu-repo/semantics/workingPaper
Peer Review: si
Publisher version: http://www.ivie.es/pub/wp/wp.php
Appears in Collections:INV - MKT - Working Papers

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