Investigating long-run stock returns after corporate events : the UK evidence
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©2014 by the authors. Published by Virtus Interpress. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, http://creativecommons.org/licenses/by/4.0/, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
The objective of this paper is to assess the robustness of the existing long-run event study methodologies in the UK stock market. In doing so, the study employs the buy-and-hold abnormal return approach and the calendar time portfolio method to identify the long-term abnormal performance following corporate events. Although many recent studies consider the application of these two widely used approaches, each of the methods is a subject to criticisms. This paper uses the standardized calendar time approach (SCTA) which presents a number of important improvements over the traditional calendar time methodology. The empirical analysis reveals that all the traditional methodologies perform well in the UK security market. Our findings further report that SCTA documents better specification and power than the conventional approaches.
Emojulkaisu
ISBN
ISSN
1727-9232
Aihealue
Kausijulkaisu
Corporate ownership and control|12
OKM-julkaisutyyppi
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä