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

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

Label
Analyzing event statistics in corporate finance : methodologies, evidences, and critiques
Title
Analyzing event statistics in corporate finance
Title remainder
methodologies, evidences, and critiques
Statement of responsibility
Jau-Lian Jeng
Creator
Subject
Genre
Language
eng
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"--
Assigning source
  • Provided by publisher
  • Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorDate
1955-
http://library.link/vocab/creatorName
Jeng, Jau-Lian
Dewey number
338.60410727
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
Corporations
Label
Analyzing event statistics in corporate finance : methodologies, evidences, and critiques, Jau-Lian Jeng
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 177-183) and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
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
Control code
FIEb17672685
Dimensions
23 cm.
Edition
First edition.
Extent
x, 186 pages
Isbn
9781137397171
Media category
unmediated
Media MARC source
rdamedia.
System control number
(OCoLC)889175389
Label
Analyzing event statistics in corporate finance : methodologies, evidences, and critiques, Jau-Lian Jeng
Publication
Bibliography note
Includes bibliographical references (pages 177-183) and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
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
Control code
FIEb17672685
Dimensions
23 cm.
Edition
First edition.
Extent
x, 186 pages
Isbn
9781137397171
Media category
unmediated
Media MARC source
rdamedia.
System control number
(OCoLC)889175389

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