Analyzing event statistics in corporate finance : methodologies, evidences, and critiques
By: Jeng, Jau-Lian
Material type: BookPublisher: New York : Palgrave Macmillan, c2015.Description: xi, 186 p. : ill. ; 23 cm.ISBN: 9781137397171Subject(s): Corporations -- Finance -- Statistics | BUSINESS & ECONOMICS / Corporate Finance | BUSINESS & ECONOMICS / Finance | BUSINESS & ECONOMICS / StatisticsDDC classification: 338.6/0410727 Online resources: Location MapItem type | Home library | Call number | Status | Date due | Barcode | Item holds |
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REGULAR | University of Wollongong in Dubai Main Collection | 338.60410727 JE AN (Browse shelf) | Available | T0053243 |
, Shelving location: Main Collection Close shelf browser
338.6 SO CO Corporate governance and accountability / | 338.6041 DA NE The new capitalists : | 338.6041 RA TH A theory of the firm's cost of capital : | 338.60410727 JE AN Analyzing event statistics in corporate finance : | 338.6041081767 IS LA Islamic corporate finance | 338.6042 KO MA Marketing places : | 338.604209 PA SM SME cluster development : |
Includes bibliographical references and index.
Machine generated contents note: -- PART I: EVENT STUDY METHODOLGY I -- 1. Data Collection in Long-run or Short-run Format? -- 2. Model Specifications for Normal (or Expected) Returns -- 3. Cumulative Abnormal Returns or Structural Change Tests? -- PART II: EVENT STUDY METHODOLOGY II -- 4. Recursive Estimation for Normal (or Expected) Returns -- 5. Time Will Tell! A Method with Occupation Time Statistics.
"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. "--