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Contemporaneous Event Studies in Corporate Finance - Methods, Critiques and Robust Alternative Approaches (Hardcover, 1st ed. 2020)
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Contemporaneous Event Studies in Corporate Finance - Methods, Critiques and Robust Alternative Approaches (Hardcover, 1st ed. 2020)
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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.
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