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Using Pooled Time-Series and Cross-Section Data to Test the Firm and Time Effects in Financial Analyses

Published online by Cambridge University Press:  19 October 2009

Hui-shyong Chang  and
Cheng F. Lee
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Extract

In this study two alternative techniques to analyze pooled time-series and cross-section data are used to test the importance of firm effect and time effect in the financial analysis. These techniques are also integrated with the functional form parameter estimation method to show the importance of appropriate functional form in handling a pooled time-series and cross-section type econometric model. The data on the electric industry show that both the time effect and cross-section effect are of importance in explaining stock price variation. It is also found that linear form (and/or) log-linear form is not always appropriate in testing the importance of both time effect and firm effect in financial analyses.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 3 , September 1977 , pp. 457 - 471
Copyright
Copyright © School of Business Administration, University of Washington 1977

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References

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