Analyzing Event Statistics in Corporate Finance (eBook)

Methodologies, Evidences, and Critiques

Jau-Lian Jeng (Autor)

eBook Download: PDF

2015 | 2015
XI, 197 Seiten
Palgrave Macmillan US (Verlag)
978-1-137-49160-2 (ISBN)

Infos

Analyzing Event Statistics in Corporate Finance provides new alternative methodologies to increase accuracy when performing statistical tests within corporate finance.

Jau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA.

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Analyzing Event Statistics in Corporate Finance provides new alternative methodologies to increase accuracy when performing statistical tests for event studies within corporate finance. In contrast to conventional surveys or literature reviews, Jeng focuses on various methodological defects or deficiencies that lead to inaccurate empirical results, which ultimately produce bad corporate policies. This work discusses the issues of data collection and structure, the recursive smoothing for systematic components in excess returns, the choices of event windows, different time horizons for the events, and the consequences of applications of different methodologies. In providing improvement for event studies in corporate finance, and based on the fact that changes in parameters for financial time series are common knowledge, a new alternative methodology is developed to extend the conventionalanalysis to more robust arguments.

Inhalt

Cover 1
Half-Title 2
Title 4
Copyright 5
Contents 6
Preface 8
Acknowledgments 12
Part I Event Study Methodology I 13
Chapter 1 Data Collection in Long-Run or Short-Run Format? 14
Chapter 2 Model Specifications for Normal (or Expected) Returns 39
Chapter 3 Cumulative Abnormal Returns or Structural Change Tests? 92
Part II Event Study Methodology II 128
Chapter 4 Recursive Estimation for Normal (or Expected) Returns 129
Chapter 5 Time Will Tell! A Method with Occupation Time Statistics 143
Epilogue 176
Notes 179
References 182
Index 189

Produkt-Details

• Erscheint lt. Verlag: 4.2.2015
• Zusatzinfo: XI, 197 p.
• Verlagsort: New York
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: Corporate Finance • Finance • Statistics
• ISBN-10: 1-137-49160-4 / 1137491604
• ISBN-13: 978-1-137-49160-2 / 9781137491602