On the theory of residual analyses and abnormal performance metrics

James A. Ohlson

doi:10.1177/031289627800300205

On the theory of residual analyses and abnormal performance metrics

James A. Ohlson

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

9 Citations (Scopus)

Abstract

In spite of the proliferation of alternative API metrics, little interpretation and comparison of them has been conducted. Their relationship with the capital asset pricing model has remained obscure. This paper attempts to clarify these and other issues. The major conclusion is that API (or residual) analysis is not satisfactory for testing market efficiency and, therefore, it seems premature to conclude that available evidence is consistent with efficiency. © 1978, SAGE Publications. All rights reserved.

Original language	English
Pages (from-to)	175-193
Journal	Australian Journal of Management
Volume	3
Issue number	2
DOIs	https://doi.org/10.1177/031289627800300205
Publication status	Published - Oct 1978
Externally published	Yes

Bibliographical note

Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

Research Keywords

AGGREGATION
API
EFFICIENCY
MARKET MODEL
RESIDUAL
STOCK MARKET PRICES

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title = "On the theory of residual analyses and abnormal performance metrics",

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N2 - In spite of the proliferation of alternative API metrics, little interpretation and comparison of them has been conducted. Their relationship with the capital asset pricing model has remained obscure. This paper attempts to clarify these and other issues. The major conclusion is that API (or residual) analysis is not satisfactory for testing market efficiency and, therefore, it seems premature to conclude that available evidence is consistent with efficiency. © 1978, SAGE Publications. All rights reserved.

AB - In spite of the proliferation of alternative API metrics, little interpretation and comparison of them has been conducted. Their relationship with the capital asset pricing model has remained obscure. This paper attempts to clarify these and other issues. The major conclusion is that API (or residual) analysis is not satisfactory for testing market efficiency and, therefore, it seems premature to conclude that available evidence is consistent with efficiency. © 1978, SAGE Publications. All rights reserved.

KW - AGGREGATION

KW - API

KW - EFFICIENCY

KW - MARKET MODEL

KW - RESIDUAL

KW - STOCK MARKET PRICES

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DO - 10.1177/031289627800300205

M3 - RGC 21 - Publication in refereed journal

SN - 0312-8962

VL - 3

SP - 175

EP - 193

JO - Australian Journal of Management

JF - Australian Journal of Management

IS - 2

ER -

On the theory of residual analyses and abnormal performance metrics

Abstract

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Research Keywords

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