Nonparametric statistical methods in financial market research.
Publisher
The University of Arizona.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.Abstract
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.Type
textDissertation-Reproduction (electronic)
Degree Name
Ph.D.Degree Level
doctoralDegree Program
Business AdministrationGraduate College