Titlebook: Analyzing Event Statistics in Corporate Finance; Methodologies, Evide Jau-Lian Jeng Book 2015 Palgrave Macmillan, a division of Nature Amer

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書目名稱Analyzing Event Statistics in Corporate Finance影響因子(影響力)




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Model Specifications for Normal (or Expected) Returns verify the model specifi-cation, one needs to be cautious about the included explanatory variables. Although many candidate variables seem useful in forecasting the returns, they are not necessarily genuine systematic variables that explain the capital market equilibrium. Common-sense reasoning may

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Cumulative Abnormal Returns or Structural Change Tests?ncides with the CUSUM statistics in the tests for parameter changes of regressions such as market models. Namely, the applications for the tests on abnormal returns are closely related with the model specification of normal returns, especially with the regression models assumed for the normal (expec

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Recursive Estimation for Normal (or Expected) Returnsmal returns are necessary for further discussions on firm-specific abnormal returns. In this chapter, since all models that approximate normal returns are prone to time-varying parameters, some recursive estimation methods are shown to cope with this nature. Given that the systematic components of a

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Epilogueable selection) in empirical asset pricing models. Various definitions of strong dependence can be introduced to provide better verifications on the essential feature of nondiversifiable pricing kernels that describe the benchmark normal (or expected) returns of risky securities.

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sed on the fact that changes in parameters for financial time series are common knowledge, a new alternative methodology is developed to extend the conventionalanalysis to more robust arguments.978-1-349-48481-2978-1-137-49160-2

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