Mary Steen estimated that if she purchased shares of companies who announced restructuring plans at the announcement and held them for five days, she would earn returns in excess of those expected from the market model of 0.9%. These returns are statistically significantly different from zero. The model was estimated without transactions costs, and in reality these would approximate 1% if the strategy were effected. This is an example of:
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A) |
statistical significance, but not economic significance. | |
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B) |
statistical and economic significance. | |
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C) |
a market inefficiency. | |
The abnormal returns are not sufficient to cover transactions costs, so there is no economic significance to this trading strategy. This is not an example of market inefficiency because excess returns are not available after covering transactions costs.
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发表于 2010-4-8 15:31
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