A1978
Title: Analysis of abnormal returns through modified sharpe models: event study
Authors: Helena Bonet Jaen - Universidad Miguel Hernandez (Spain) [presenting]
Pedro Angosto Fernandez - Universidad Miguel Hernandez (Spain)
Agustin Perez Martin - University Miguel Hernandez of Elche (Spain)
Maria Victoria Ferrandez-Serrano - Universidad Miguel Hernandez (Spain)
Abstract: Potential modifications to the Sharpe model are considered in order to estimate returns and to improve event studies in the Stock Spanish market. On one side, we propose modifying the market return in the Sharpe model by the calculated sectorial return of each share. Then we have several models, as many as sectors. On the other side, we propose using the returns of groups of shares instead of the market return in the Sharpe model. These groups are obtained by shares with returns highly correlated. To examine the goodness of these models, we use the returns of the 35 firms of the Ibex35 Spanish index. Finally, we evaluate how these modifications are capable of detecting and estimating abnormal returns arising from specific events. In the particular case examined, the focal event is the downfall of Silicon Valley Bank and its ramifications on the Spanish banking sector.
