Analyzing Event Statistics in Corporate Finance: by Jau-Lian Jeng PDF

By Jau-Lian Jeng

ISBN-10: 1137491604

ISBN-13: 9781137491602

ISBN-10: 1349484814

ISBN-13: 9781349484812

Studying occasion statistics in company Finance offers new substitute methodologies to extend accuracy while appearing statistical checks for occasion reports inside of company finance. unlike traditional surveys or literature reports, Jeng specializes in a variety of methodological defects or deficiencies that bring about faulty empirical effects, which eventually produce undesirable company regulations. This paintings discusses the problems of knowledge assortment and constitution, the recursive smoothing for systematic parts in extra returns, the alternatives of occasion home windows, various time horizons for the occasions, and the results of purposes of other methodologies. In offering development for occasion reports in company finance, and in accordance with the truth that alterations in parameters for monetary time sequence are universal wisdom, a brand new substitute method is constructed to increase the traditional research to extra strong arguments.

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Extra info for Analyzing Event Statistics in Corporate Finance: Methodologies, Evidences, and Critiques

Example text

In short, the model specifications for normal (or expected) returns need to consider two steps:(1) to identify the essential attributes (or factors) in expected returns via model search, and (2) to apply possible filtering devices (algorithms, or statistical methodologies) in filtering the expected returns from stock returns. For brevity, the applications of robust filters for the expected returns will be discussed in Part 2 of this book. Many research papers had discussed the applications of different model specifications for expected returns.

Certainly, another alternative for model search is to consider the model selection criteria such as AIC, or BIC, among others. Unfortunately, model selection criteria are only to satisfy the role as selecting statistically significant explanatory variables for the regression models of interest. For model search in asset pricing models or normal returns in stock returns, additional properties with concerns on nondiversifiability for explanatory variables must be considered. Otherwise, the dichotomy of M O D E L S P E C I F I C AT I O N S 43 stock returns into systematic (nondiversifiable) components and nonsystematic firm-specific abnormal returns will not hold empirically since some firm-specific variables may be identified as statistically significant predictors included in the systematic (nondiversifiable) components.

Selection of these firms may not necessarily be easier than the model selection among all alternatives for normal (or expected) returns. Nevertheless, the finding in Thompson (1989) actually indicates that controversies in 40 A N A LY Z I N G E V E N T S T A T I S T I C S I N C O R P O R A T E F I N A N C E obtaining the abnormal returns through different methods of specifying normal (or expected) returns must be resolved so that certain principles are devised for consistency in empirical findings of the corporate events.

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Analyzing Event Statistics in Corporate Finance: Methodologies, Evidences, and Critiques by Jau-Lian Jeng

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