Research Catalog

Title

Analyzing event statistics in corporate finance : methodologies, evidences, and critiques / Jau-Lian Jeng.

Author

Jeng, Jau-Lian, 1955-

Publication

New York, NY : Palgrave Macmillan, 2015.

Items in the Library & Off-site

Holdings

Details

Description

x, 186 pages; 23 cm

Summary

• "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. "--
• "Event studies in corporate finance are still with many issues unresolved; for instance, data selection, event window, determination of abnormal returns (together with their statistics). Many extensions may have followed from conventional approach. This book instead, provides the evidences, critiques for the conventional methodologies, particularly on the data constructed, robust model search for normal returns, and on the cumulative abnormal returns (CAR's). In showing that the difficulties encountered in event studies, the alternative is to consider the methodology where tests for parameter changes are replaced with the durations of the impacts from events instead. Hence, the significance of the events, are determined by the time span of the impacts from events may last. In other words, severity or significance of events are not based on parameter changes (as those indicated by CAR's), but on how long the "shocks" may persist cumulatively"--

Subject

• BUSINESS & ECONOMICS / Corporate Finance
• BUSINESS & ECONOMICS / Finance
• BUSINESS & ECONOMICS / Statistics
• Corporations > Finance > Statistics
• Corporations > Finance

Genre/Form

Statistics.

Bibliography (note)

• Includes bibliographical references (pages 177-183) and index.

Contents

Chapter 1. Data Collection in Long-Run or Short-Run Format? -- Chapter 2. Model Specifications for Normal (or Expected) Returns -- Chapter 3. Cumulative Abnormal Returns or Structural Change Tests? -- Chapter 4. Recursive Estimation for Normal (or Expected) Returns -- Chapter 5. Time Will Tell! A Method with Occupation Time Statistics.

ISBN

• 9781137397171
• 1137397179

LCCN

• 2014030481
• 99962460880

OCLC

• ocn889175389
• 889175389
• SCSB-9397686

Owning Institutions

Columbia University Libraries