Download PDF by Jau-Lian Jeng: Analyzing Event Statistics in Corporate Finance:

By Jau-Lian Jeng

ISBN-10: 1137491604

ISBN-13: 9781137491602

ISBN-10: 1349484814

ISBN-13: 9781349484812

Examining occasion information in company Finance presents new substitute methodologies to extend accuracy whilst appearing statistical assessments for occasion experiences inside company finance. unlike traditional surveys or literature studies, Jeng specializes in a number of methodological defects or deficiencies that bring about misguided empirical effects, which eventually produce undesirable company rules. This paintings discusses the problems of knowledge assortment and constitution, the recursive smoothing for systematic parts in extra returns, the alternatives of occasion home windows, varied time horizons for the occasions, and the implications of purposes of other methodologies. In supplying development for occasion experiences in company finance, and in keeping with the truth that adjustments in parameters for monetary time sequence are universal wisdom, a brand new replacement technique is built to increase the traditional research to extra strong arguments.

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Additional resources for Analyzing Event Statistics in Corporate Finance: Methodologies, Evidences, and Critiques

Example text

That is, the sum of infinite series of ωi2 i=1,2,··· in W should be nil. For instance, if ωi = N1 , N is the number of assets, then N ∞ N 2 2 lim i=1 ωi = lim N 2 = 0 = i=1 ωi . This does not imply N →∞ N →∞ that all weights {ωi }i=1,2,··· are all identically equal to zero for all i = 1, 2, · · · , . Therefore, the idea of diversifiable/nondiversifiable factor focuses on the entire opportunity set of well-diversified portfolios for the infinite dimensional optimization problem. For the nondiversifiable factor, its hidden factor loadings should not be eliminated by any possible sequences of weights of the well-diversified portfolios in W as N → ∞.

For model search in asset pricing models or normal returns in stock returns, additional properties with concerns on nondiversifiability for explanatory variables must be considered. Otherwise, the dichotomy of M O D E L S P E C I F I C AT I O N S 43 stock returns into systematic (nondiversifiable) components and nonsystematic firm-specific abnormal returns will not hold empirically since some firm-specific variables may be identified as statistically significant predictors included in the systematic (nondiversifiable) components.

Instead of following conventional approach that starts with identification for corporate event dates and news, the alternative approach starts from verifications on the “jumps” of stock returns. Namely, the approach applying the statistical methods such as (bi)power variation to consider the jumps of stock returns without reference to some particular news or announcements. After identifying the jumps, the method is then to associate the news data with the already-identified jumps of stock returns.

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Analyzing Event Statistics in Corporate Finance: Methodologies, Evidences, and Critiques by Jau-Lian Jeng

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