Hi,
What do they really mean by standardization?
This is from (page 318, paragraph 3 and 4) the following paper,
Mitchell, M.L., and E. Stafford. (2000). Managerial decisions and long-term stock price performance. Journal of Business, 73, no. 3, pp. 287-329.
The authors calculate the abnormal return (CTAR) on a portfolio of stocks every calendar month as CTAR = Rpt- E(Rpt), Rpt is the actual realised return, E(Rpt) is the expected return.
They then say that, "the monthly CTARs are standardized by estimates of the portfolio standard deviation.." They then go on to say that "each standardized monthly CTAR should have a mean of zero and be independent. Therefore, statistical inference is based on the time series mean of the monthly standardised CTARs and the standard error of the mean."
I am not sure if they mean Z standardization or
They simply divide by the standard deviation, Would it be right to call that standardization?
The CTAR is an abnormal return so the null is that it is zero.
Thanks for your time
Regards
rajesh
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of [email protected]
Sent: 01 August 2008 09:42
To: [email protected]
Subject: st: scband updated
Dear Stata Users,
thanks to Kit Baum a new version of -stcband- is
available on the SSC Archive.
This command estimates and graphs the
confidence bands for the survival function.
Note that the official
package estimates and graphs the confidence intervals of the survival
function, not the same as and probably less useful than the confidence
bands.
The difference is well illustrated for example in the book of
Klein & Moeschberger (Survival Analysis Springer 2003) and in the
Applied Survival Analysis of Hosmer, Lemeshow and May (2 ed. Wiley
2008).
In the new version the Hall-Wellner method becomes the default
method (before the default was the equal precision), the confidence
bands for the cumulative hazard function is also available and some bug
(I admit) has been fixed.
For R users the km.ci package may be an
alternative, but I prefer -stcband-
As always, any comment and
feedback will be gratly appreciated.
Best wishes.
Enzo
^^^^^^^^^^^^^^^^
Enzo Coviello
Unita' di Statistica ed Epidemiologia ASL BARI
piazza Vittorio Emanuele, 14
70054 - GIOVINAZZO (BA)
Italy
tel. fax +39 080 3357867
tel (home) +39 0883 695055
mobile 347 5016016
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* http://www.ats.ucla.edu/stat/stata/
