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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 ...


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 ...


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 ...


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

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