Analyzing Event Statistics in Corporate Finance

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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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.

• corporate finance
• finance
• statistics

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

  Jau-Lian Jeng

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

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