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Palgrave Macmillan

Analyzing Event Statistics in Corporate Finance

Methodologies, Evidences, and Critiques

  • Book
  • © 2015

Overview

Authors:
  1. Jau-Lian Jeng

    1. School of Business and Management, Azusa Pacific University, USA

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About this book

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 conventional analysis to more robust arguments.

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xi
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  2. Event Study Methodology I

    1. Front Matter

      Pages 1-1
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    2. Data Collection in Long-Run or Short-Run Format?

      • Jau-Lian Jeng
      Pages 3-27

    3. Model Specifications for Normal (or Expected) Returns

      • Jau-Lian Jeng
      Pages 29-81

    4. Cumulative Abnormal Returns or Structural Change Tests?

      • Jau-Lian Jeng
      Pages 83-118

  3. Event Study Methodology II

    1. Front Matter

      Pages 119-119
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    2. Recursive Estimation for Normal (or Expected) Returns

      • Jau-Lian Jeng
      Pages 121-134

    3. Time Will Tell! A Method with Occupation Time Statistics

      • Jau-Lian Jeng
      Pages 135-167

    4. Epilogue

      • Jau-Lian Jeng
      Pages 169-171

  4. Back Matter

    Pages 173-186
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Authors and Affiliations

  • School of Business and Management, Azusa Pacific University, USA

    Jau-Lian Jeng

About the author

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

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