# Tag Info

## Hot answers tagged equities

3

The dummy function is always used to construct non-linear models. In your model, it is interpreted that the announcements have an non-linear effect on the return. So it is incorrect to say it is a linear regression problem, it should be called as a non-linear regression problem. In total, it means the announcements have asymmetric effects in explaining the ...

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Is this for one firm only? Is there positive and negative announcements (ie do the abnormal returns differ in sign)? As per Binder (1998): $$R_{it}=\alpha _{i} + \beta _{i}R_{mt} + \gamma _{i}D_{i} + u_{it}$$ where the coefficient $\gamma _{i}$ is the abnormal return for security $i$ during period $t$. If the events tend to affect the security prices both ...

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To answer you correctly we'd need to see the exact inputs of your regression... and I doubt you can mix easily linear and binary variables like that. If the market return is 1% at time $t$ do you have $R_{m,t} = 0.01$ or $R_{m,t} = 1$. Same question for $R_t$ Assuming both are using the "0.01" convention, then a move of $1\% = 0.01$ results in a move of ...

2

In Japan we get ISIN data with http://www.isin.org/isin-database they have free search tool.

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