This dissertation presents an exploration of the use of nonparametric statistical methods based on ranks for use in financial market research. Applications to event study methodology and the estimation of security systematic risk are analyzed using a simulation methodology with actual daily security return data. The results indicate that procedures based on ranks are more efficient than normal theory procedures currently in common use.
| Identifer | oai:union.ndltd.org:arizona.edu/oai:arizona.openrepository.com:10150/184608 |
| Date | January 1988 |
| Creators | Corrado, Charles J. |
| Contributors | Bierwag, Gerald O., Dyl, Edward A., Schatzberg, John A., Higle, Julia J. |
| Publisher | The University of Arizona. |
| Source Sets | University of Arizona |
| Language | English |
| Detected Language | English |
| Type | text, Dissertation-Reproduction (electronic) |
| Rights | Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author. |
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