Contemporaneous Event Studies in Corporate Finance : Methods, Critiques and Robust Alternative Approaches （2020）

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Contemporaneous Event Studies in Corporate Finance : Methods, Critiques and Robust Alternative Approaches （2020）

Jeng, Jau-Lian

ウェブストア価格 ¥24,630（本体¥22,391）
Springer Nature Switzerland AG（2021/11発売）
外貨定価 US$ 119.00
ポイント 223pt

オンデマンド(OD/POD)版です。キャンセルは承れません。

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製本 Paperback:紙装版/ペーパーバック版／ページ数 227 p.
言語 ENG
商品コード 9783030538118
DDC分類 338.60410727

Full Description

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 in corporate finance event studies, this timely book will appeal to students and academics researching financial econometrics and time series analysis, corporate finance and capital markets.

Part I The Conventional Approach.- 1.Popular Methods for Event Studies in Corporate Finance - Subjectivity versus Robustness.- Part II Alternative Approach for the Contemporaneous Event Studies.- 2.Assessments of Normal Returns.- 3.Occupation Time Statistics - The Intensity of Events.- 4.Monitoring Tests and the Time of Duration.- 5.Sequential Monitoring for Corporate Events in using Occupation Time Statistics.- 6.Real-Time Applications of Monitoring and Empirical Performance.