http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
Analyzing event statistics in corporate finance
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.
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.
Includes bibliographical references and index.
BUSINESS & ECONOMICS / Corporate Finance