+ Reply to Thread
Results 1 to 1 of 1

Thread: Dimson method - t-statistics on summarised betas ?

  1. #1
    Points: 7, Level: 1
    Level completed: 13%, Points required for next Level: 43

    Posts
    1
    Thanks
    0
    Thanked 0 Times in 0 Posts

    Question Dimson method - t-statistics on summarised betas ?




    Hi,

    Currently trying to apply the Dimson method(Dimson 1979. Link provided below), on the market model due to infrequent trading.

    Our specific regression is consistent with the regression in table 2 on page 279, in the attached article on price uncertainty and and corporate value.

    The method it self seems quite self-explanatory, but the t-statistics on the summarised betas (from lag and leads) are not well explained. Our research states that the individual beta values on the lags, current and leads are not significant, but the summarised beta value is highly significant.

    Do any of you know how to perform t-statistics on the summarised beta value according to the Dimson method?

    Link:
    http://ac.els-cdn.com/0304405X799001...70e5ae23ddf80a


    Thank you for your help!
    Attached Images

+ Reply to Thread

           




Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts






Advertise on Talk Stats