Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement
Using high frequency data, we develop an event study method to test for level shifts in beta and measure abnormal returns for events that produce such level shifts. Using this method, we estimate abnormal returns for the Troubled Asset Relief Program (TARP) announcement and find that its abnormal returns are largely realized on the first day. The abnormal returns in the remaining post event period, which show up as a drift using standard methodology, are attributed to level shifts in beta.
Cite this item
Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena, Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement, Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series 2018-081, 30 Nov 2018.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Keywords: Event studies ; Intraday returns ; Systematic risk
This item with handle RePEc:fip:fedgfe:2018-81
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