Event Studies For Financial Research

Event Studies are overwhelmingly widespread in financial research, providing tools for shedding light on market efficiency, as well as measuring the impact of various occurrences on public firms' security prices. Mastering the Event Study approach is essential for researchers and practitioners alike. Event Studies for Financial Research aims to help readers obtain valuable hands-on experience with Event Study tools and gain technical skills for conducting their own studies. Kliger and Gurevich provide a detailed application of their approach, which consists of: a description of the method; references; guided applications; and elaborated framework for implementing the applications.

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.

Judging by the sheer number of papers reviewed in this Handbook, the empirical analysis of firms’ financing and investment decisions—empirical corporate finance—has become a dominant field in financial economics. The growing interest in everything “corporate is fueled by a healthy combination of fundamental theoretical developments and recent widespread access to large transactional data bases. A less scientific—but nevertheless important—source of inspiration is a growing awareness of the important social implications of corporate behavior and governance. This Handbook takes stock of the main empirical findings to date across an unprecedented spectrum of corporate finance issues, ranging from econometric methodology, to raising capital and capital structure choice, and to managerial incentives and corporate investment behavior. The surveys are written by leading empirical researchers that remain active in their respective areas of interest. With few exceptions, the writing style makes the chapters accessible to industry practitioners. For doctoral students and seasoned academics, the surveys offer dense roadmaps into the empirical research landscape and provide suggestions for future work. *The Handbooks in Finance series offers a broad group of outstanding volumes in various areas of finance *Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance *The series is international in scope with contributions from field leaders the world over

Electronic Inspection Copy available for instructors here A must-have reference resource for quantitative management researchers, the Dictionary contains over 100 entries covering the fundamentals of quantitative methodologies; covering both analysis and implementation and examples of use, as well as detailed graphics to aid understanding. Every entry features: -An introduction to the topic, -Key relevant features, -A worked example, -A concise summary and a selection of further reading suggestions -Cross-references to associated concepts within the dictionary

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

The book examines the market reaction to mergers and acquisitions (M&A) announcements over a period from 2003 to 2015. Mergers and acquisitions continue to be amongst the preferred competitive options available to the companies seeking to grow fast in the rapidly changing global business scenario. M&A as a growth strategy has received attention from developed as well as emerging economies. It has been extensively used by managers as an expansion strategy and also serves as an important instrument for increasing corporate efficiency. Recently, M&A has grown at a rapid pace, creating a need for research to analyze what drives this phenomenon and how it affects firms and markets. As such, this book evaluates the impact of M&A on short-term abnormal returns as well long-term financial performance. It also assesses the management view concerning the motives for undertaking M&A. In addition, the book investigates the corporate governance practices of the acquiring firms and their impact on the short- term as well as long- term performance of those firms.

This paper examines financial stability issues that arise from the increased presence of sovereign wealth funds (SWFs) in global financial markets by assessing whether and how stock markets react to the announcements of investments and divestments to firms by SWFs using an event study approach. Based on 166 publicly traceable events collected on investments and divestments by major SWFs during the period from 1990 to 2009, the paper evaluates the short-term financial impact of SWFs on selected public equity markets in which they invest. The impact is analyzed on different sectors (financial and nonfinancial), actions (buy and sell), market types (developed and emerging markets), and level of corporate governance (high and low score). Results, based on these 166 events, show that there was no significant destabilizing effect of SWFs on equity markets, which is consistent with anecdotal evidence.

While researchers have commonly used event studies in other research areas, the use in supply chain management research is limited—but growing. However, there remain several important research design considerations that must be accounted for over the process of planning, executing, and writing event studies. Because of this, many issues and sources of uncertainty emerge among students and early researchers. There is a need for a comprehensive guide to these common issues and how to address them, delving into the nuances and steps to take. Applied Guide for Event Study Research in Supply Chain Management supports graduate students and researchers to understand how to develop, execute, and publish event studies, specifically in the area of supply chain management, with valuable support for wider management studies. This book anticipates many reviewer and editorial concerns and questions and explores how to design a study that addresses issues before they arise, or how to tackle the issue during the review process. Covering topics such as alternative study designs, event study methods, and interpreting research results, this premier reference source is an indispensable resource for students and faculty of higher education, business executives and managers, librarians, government officials, researchers, and academicians.