Does calendar time portfolio approach really lack power?
Dutta, Anupam (2014-08-22)
Dutta, Anupam
Canadian Center of Science and Education (CCSE)
22.08.2014
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2020092575844
https://urn.fi/URN:NBN:fi-fe2020092575844
Kuvaus
vertaisarvioitu
©2014 by the authors. Published by Canadian Center of Science and Education (CCSE). 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.
©2014 by the authors. Published by Canadian Center of Science and Education (CCSE). 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.
Tiivistelmä
This paper investigates whether the calendar time methodology lacks power in detecting the long-run abnormalperformance of the firms after major corporate events. In addition, the study proposes a variant of calendar timeapproach by standardizing the abnormal returns of the event firms forming the monthly portfolios. To assess therobustness of the modified method, the results from buy-and-hold abnormal return approach and the meanmonthly calendar time abnormal return method are also reported. The empirical analysis documents that theproposed approach improves the power in random samples and in samples with small firms and with calendarclustering.
Kokoelmat
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