Contemporaneous Event Studies in Corporate Finance
Methods, Critiques and Robust Alternative Approaches
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Beschreibung
Providing a comprehensive overview of event study methodology in the field of corporate finance, this book discusses how traditional methods verify the significance and insignificance of events in statistical sampling, and emphasize possible deviation from the statistics of interest. However, the author illustrates the flaws of conventional methodology and proposes alternative methods which can be used for a more robust study of estimating normal and abnormal returns. Traditional methods fail to recognize that the importance of an event will also influence the frequency of the occurrence of the event, and consequently they produce subjective sampling results. This book highlights contemporaneous recursive methods which can be used to track down normal returns and avoid arbitrary determination for the estimation and event period. In addition, the author offers an alternative monitoring scheme to identify the events of concern. Addressing a need for more objective sampling methods incorporate finance event studies, this timely book will appeal to students and academics researching financial econometrics and time series analysis, corporate finance and capital markets.
Jau-Lian Jeng is Professor of Finance at Azusa Pacific University in the USA. He teaches courses in corporate finance, managerial finance, Financial Analysis, Financial Risk Management, and applied business research. An expert in mathematical modeling, statistical analyses and econometric and time series modeling, Jau-Lien has written a number of articles for academic journals, including the Global Finance Journal and Chinese Economy. He has also published two books with Palgrave Macmillan: Analyzing Event Studies in Corporate Finance (2015) and Empirical Asset Pricing Models (2018).
Considers the possible trading opportunities when searching for possible impacts from corporate finance eventsExamines the impacts from corporate finance toward capital market and economyProvides thorough discussions and extensions of alternative methodology in using occupation time statistics Covers the possibilities of epidemic changes in the parameters of interest
Considers the possible trading opportunities when searching for possible impacts from corporate finance events Examines the impacts from corporate finance toward capital market and economy Provides thorough discussions and extensions of alternative methodology in using occupation time statistics Covers the possibilities of epidemic changes in the parameters of interest
Autor*in
Jau-Lian Jeng
Themen in »Contemporaneous Event Studies in Corporate Finance«
Cumulative Abnormal Returns Recursive Identification Occupation Time Sojourns Level Crossings Sequential Detection Corporate Finance