Risk parameter shifts : the case of spinoffs
This study deals with measuring and testing the impact of spinoff transactions on the risk parameters of the parent firm stocks. This is achieved by employing CC-GARCH(1,1) and VC-GARCH(1,1) models to estimate the most-commonly used risk measures: the stock return total variance, made up of beta (sy...
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| Format: | Others |
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2003
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| Online Access: | http://spectrum.library.concordia.ca/2376/1/MQ91093.pdf Mustafayev, Yermek <http://spectrum.library.concordia.ca/view/creators/Mustafayev=3AYermek=3A=3A.html> (2003) Risk parameter shifts : the case of spinoffs. Masters thesis, Concordia University. |