Contemporaneous Event Studies in Corporate Finance
Methods, Critiques and Robust Alternative Approaches
Authors: Jeng, Jau-Lian
Free Preview- Considers the possible trading opportunities when searching for possible impacts from corporate finance events
- Examines the impacts from corporate finance toward capital market and economy
- Provides thorough discussions and extensions of alternative methodology in using occupation time statistics
- Covers the possibilities of epidemic changes in the parameters of interest
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- About this book
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Providing a comprehensive overview of event study methodology in the field of corporate finance, this book discusses how traditional methods verify the significance and insignificance of events in statistical sampling, and emphasize possible deviation from the statistics of interest. However, the author illustrates the flaws of conventional methodology and proposes alternative methods which can be used for a more robust study of estimating normal and abnormal returns. Traditional methods fail to recognize that the importance of an event will also influence the frequency of the occurrence of the event, and consequently they produce subjective sampling results. This book highlights contemporaneous recursive methods which can be used to track down normal returns and avoid arbitrary determination for the estimation and event period. In addition, the author offers an alternative monitoring scheme to identify the events of concern. Addressing a need for more objective sampling methods in corporate finance event studies, this timely book will appeal to students and academics researching financial econometrics and time series analysis, corporate finance and capital markets.
- About the authors
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Jau-Lian Jeng is Professor of Finance at Azusa Pacific University in the USA. He teaches courses in corporate finance, managerial finance, financial analysis, financial risk management, and applied business research. An expert in mathematical modeling, statistical analyses and econometric and time series modeling, Jau-Lien has written a number of articles for academic journals, including the Global Finance Journal and Chinese Economy. He has also published two books with Palgrave Macmillan: Analyzing Event Studies in Corporate Finance (2015) and Empirical Asset Pricing Models (2018).
Bibliographic Information
- Bibliographic Information
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- Book Title
- Contemporaneous Event Studies in Corporate Finance
- Book Subtitle
- Methods, Critiques and Robust Alternative Approaches
- Authors
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- Jau-Lian Jeng
- Copyright
- 2020
- Publisher
- Palgrave Macmillan
- Copyright Holder
- The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG
- eBook ISBN
- 978-3-030-53809-5
- DOI
- 10.1007/978-3-030-53809-5
- Hardcover ISBN
- 978-3-030-53808-8
- Edition Number
- 1
- Number of Pages
- XIX, 227
- Number of Illustrations
- 8 b/w illustrations
- Topics
