کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5094142 1376167 2007 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Event studies with a contaminated estimation period
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Event studies with a contaminated estimation period
چکیده انگلیسی
Event studies are an important tool for empirical research in Finance. Since the seminal contribution of Fama et al. [Fama, E., Fisher, L., Jensen, M., Roll, R., 1969. The adjustment of stock prices to new information. International Economic Review 10, 1-21], there have been many enhancements to the classical test methodology. Somewhat surprisingly, the estimation period has attracted less interest. It is usually routinely determined as a fixed window prior to the event announcement day. In this study, we propose a test that reduces the impact of potentially unrelated events during the estimation period. Our proposition is based on a two-state version of the classical market model as a return-generating process. We present standard specification and power analyses. The results highlight the importance of explicitly controlling for unrelated events occurring during the estimation window, especially in the presence of event-induced increase in return volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Corporate Finance - Volume 13, Issue 1, March 2007, Pages 129-145
نویسندگان
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