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2 edition of Event study methods & evidence on their performance. found in the catalog.

Event study methods & evidence on their performance.

Seth Armitage

Event study methods & evidence on their performance.

by Seth Armitage

  • 184 Want to read
  • 21 Currently reading

Published .
Written in English


ID Numbers
Open LibraryOL19089599M

  However, a recent study suggests that returns to acquirers in mega deals (over $m) are seeing more positive returns. Defining and measuring M&A performance. The most frequently used approach to assess M&A performance is an event study method, which measures abnormal stock market returns around the moment that an acquisition is announced. Our study builds on work by Hart and Sojourner () (hereafter “HS”), who also investigate the effects of unions on school performance in California charter schools in a study similar to ours. Aided by our new data collection effort and several differences in methodological approach, we Cited by: 4.

An event study attempts to measure the effect of an observed event on the firm's market value. In general, the main purpose of any event study is to find empirical evidence that shows whether a security performance is statistically different from what would be expected under Cited by: 7. Foreign Exchange Speculation: An Event Study Section3talks about the measurement of speculation and the event study method; Section4reviews the evidence; Section5concludes. 2. Informed and Uninformed Speculation achieves a new equilibrium and the following price performance Cited by: 1.

Two articles often cited as references on event study methods, Pate11 () and Dodd and Warner (), assume that sequential abnormal returns for a single stock are independent.’. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): In this course, we consider applications of econometric techniques to the analysis of financial markets, with special emphasis on empirical tests of asset pricing models and of the efficient market hypothesis. Throughout the course, we use both international (mainly, US) and Russian data.


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Event study methods & evidence on their performance by Seth Armitage Download PDF EPUB FB2

Direct evidence on the performance of different methods is available from simulation experiments in which known levels of abnormal return are added. The market model is most commonly used to generate expected returns and no better alternative has yet been found despite the weak relationship between beta and actual by: Read "EVENT STUDY METHODS AND EVIDENCE ON THEIR PERFORMANCE, Journal of Economic Surveys" on DeepDyve, the largest online rental service for scholarly research with thousands of academic publications available at your fingertips.

Title: Event studz methods and evidence on their performance: Publication Type: Journal Article: Year of Publication: Authors: Armitage, S. Journal: Journal of Economic Surveys. Armitage, Seth./ Event study methods and evidence on their : Journal of Economic Surveys.

; Vol. Cited by: Armitage, Seth, "Event Study Methods and Evidence on Their Performance," Journal of Economic Surveys, Wiley Blackwell, vol. 9(1), pages Moshfique Uddin & Agyenim Boateng, "An analysis of short-run performance of cross-border mergers and acquisitions: Evidence from the UK acquiring firms," Review of Accounting and Finance, Emerald Group Publishing, vol.

8(4), pagesOctober. Walter, Andreas & Eisele, Florian, Event Study Methods and Evidence on Their Performance.

Seth Armitage. Journal of Economic Surveys,vol. 9, issue 1, Date: References: Add references at CitEc Citations: View citations in EconPapers (37) Track citations by RSS feed There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:Cited by: Armitage, Seth "Event Study Methods and Evidence on Their Performance", Journal of Economic Surveys, vol 8, no 4,pages Binder, John J., professor in Dept. of Finance, University of Illinois, Chicago, has written a comprehensive review: "The Event Study Methodology Since ".

Request PDF | On Jan 1,Nonna Sorokina and others published Robust Methods in Event Studies: Empirical Evidence and Theoretical Implications | Find, read and cite. performance of event study methods.

Section 3 lays out this framework, and summarizes general conclusions from the methodology literature. In the remainder of the chapter, additional issues and problems are considered with more specificity. Characterizing Event Study Methods An event study: the model.

Conditional Methods in Event Studies and an Equilibrium Justification for Standard Event-Study Procedures N. Prabhala Yale University The literature on conditional event-study meth- ods criticizes standard event-study procedures. Section briefly outlines the procedure for conducting an event study.

Section sets up an illustrative example of an event study. Central to any event study is the measurement of the abnormal return. Section details the first step-measuring the normal performance-and Section File Size: 1MB.

Event Studies: A Methodology Review Charles J. Corrado Deakin University Melbourne, Australia information and in determining the magnitude of their gain. “An event study is a statistical technique that estimates the stock price impact of To illustrate how event study evidence might be presented in an insider-trading case,Cited by:   Event Study: An event study is an empirical analysis performed on a security that has experienced a significant catalyst occurrence, and has subsequently changed Author: Will Kenton.

Event Studies in Economics and Event Study Methods and Evidence on Their Performance” (). Size and Book-to-Market Factors in Earnings and Returns” Subramanyam () “Financial Statement Effects of Adopting International Accounting Standards: The Case of Germany”.

The event study methodology is designed to investigate the effect of an event on a specific dependant variable.

A commonly used dependent variable in event studies is the stock price of the company. The definition of such an event study will be ‘a study of the changes in stock price beyond expectation (Abnormal returns) over a period of timeFile Size: KB.

Event study methods examine certain occurrences that result in abnormal returns (Li & Tallman, ) and have been used extensively in the financial and economics literature. However, they typically just confirm if an event has caused an abnormal change in stock Author: Tiffany Hui-Kuang Yu, Kun-Huang Huarng.

Despite the elegant simplicity of a standard event study, variations in methodology and their relative merits continue to attract attention in the literature. This paper reviews some of the fundamental topics in short-term event study methodology, with an attempt to add new perspectives to some pressing by: Robust Methods in Event Studies: Empirical Evidence and Theoretical Implications Nonna Sorokina, David E.

Booth and John H. Thornton, Jr. Kent State University Abstract: We apply methodology robust to outliers to an existing event study of the e ect of U.S. nancial reform on the stock markets of the   The Rank 19 Bartholdy, et.

Conducting Event studies on a small stock exchange () 20 Bartholdy Conducting Event studies on a small stock exchange () p.9 21 J. Lyon et. al., Improved Methods for Tests of Long Run Abnormal Stock Returns () p 22 MacKinlay; Event Studies in Economics and Finance () p Page 10 of.

reported 92 percent of empirical studies used event study and accounting-based methods. Also, Zollo and Meier () state while 41 percent of the total reviewed articles use short-term event study, only 28 percent of researches use accounting based measures.

Within event study, evaluation designation varies on the length of.(). Event Studies in Economics and Finance. (). Event Study Methods and Evidence on Their Performance. (). Hedonic Analysis of Sustainable Food Products. International Food and Agribusiness Management Review ().Author: Joshua D.

Detre and Michael A. Gunderson. We propose a test statistic for nonzero mean abnormal returns based on a Smooth Transition Auto Regressive (STAR) model specification. Estimation of STAR takes into account the probability of contaminated events that could otherwise bias the parameters of the market model and thus the specification and power of the test statistic.

Using both simulated and real stock returns data Cited by: 3.