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Palgrave Macmillan

Contemporaneous Event Studies in Corporate Finance

Methods, Critiques and Robust Alternative Approaches

  • Book
  • © 2020

Overview

Authors:
  1. Jau-Lian Jeng

    1. School of Business and Management, Azusa Pacific University, Los Angeles, USA

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  • 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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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xix
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  2. The Conventional Approach

    1. Front Matter

      Pages 1-1
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    2. Popular Methods for Event Studies in Corporate Finance—Subjectivity Versus Robustness

      • Jau-Lian Jeng
      Pages 3-52

  3. Alternative Approach for the Contemporaneous Event Studies

    1. Front Matter

      Pages 53-53
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    2. Assessments of Normal Returns

      • Jau-Lian Jeng
      Pages 55-89

    3. Occupation Time Statistics—The Intensity of Events

      • Jau-Lian Jeng
      Pages 91-145

    4. Monitoring Tests and the Time of Duration

      • Jau-Lian Jeng
      Pages 147-159

    5. Sequential Monitoring for Corporate Events in Using Occupation Time Statistics

      • Jau-Lian Jeng
      Pages 161-199

    6. Real-Time Applications of Monitoring and Empirical Performance

      • Jau-Lian Jeng
      Pages 201-222

  4. Back Matter

    Pages 223-227
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Keywords

About this book

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.

Authors and Affiliations

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

    Jau-Lian Jeng

About the author

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

  • Book Title: Contemporaneous Event Studies in Corporate Finance

  • Book Subtitle: Methods, Critiques and Robust Alternative Approaches

  • Authors: Jau-Lian Jeng

  • DOI: https://doi.org/10.1007/978-3-030-53809-5

  • Publisher: Palgrave Macmillan Cham

  • eBook Packages: History, History (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2020

  • Hardcover ISBN: 978-3-030-53808-8Published: 04 November 2020

  • Softcover ISBN: 978-3-030-53811-8Published: 05 November 2021

  • eBook ISBN: 978-3-030-53809-5Published: 03 November 2020

  • Edition Number: 1

  • Number of Pages: XIX, 227

  • Number of Illustrations: 8 b/w illustrations

  • Topics: Corporate Finance

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