![]() Market Model (Abbr.: mm): The 'market model' considers the focal firm's individual CAPM risk by multiplying the market return with the firm individual $\beta$ factor: $\alpha_i+\beta_i R_$ are the factor sensitivities or loadings of stock $i$. Example: Calculation of the Money-Weighted Return for the Stock of Zalando. ![]() ![]() Vesting requirements, forfeiture of unvested and OTM options. The following models are implemented in this website's event study research apps: Standard option pricing models cannot be used to determine the value of employee stock options. In the context of event studies, expected return models predict hypothetical returns that are then deducted from the actual stock returns to arrive at 'abnormal returns'. Expected return models can be grouped in statistical (models 1-5 below) and economic models (models 6 and 7). Use the slope of the regression in step 3 for transposing the data You can do this in logs or in absolute amounts. Run a regression of the residual versus the lagged residual 4. Compute the residuals from the regression 3. Expected return models are widely used in Finance research. Run Normal OLS (In excel, get the slope and the intercept) 2.
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