Modeling Market Reactions to Auditor Changes Using Variable Selection Algorithms: A Meta-Analysis

Richard Holocwak, David Louton, Hakan Saraoglu and Charles P. Cullinan
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Richard Holocwak: Paul H. Chook Department of Information Systems and Statistics, Baruch College, City University of New York, USA
David Louton: Bryant University, Smithfield, Rhode Island, USA
Hakan Saraoglu: Bryant University, Smithfield, Rhode Island, USA
Charles P. Cullinan: Bryant University, Smithfield, Rhode Island, USA

Economics and Applied Informatics, 2019, issue 3, 5-15

Abstract: Market reactions to auditor change filings have been studied over a long period in the literature. We provide a review of the literature on market response to auditor changes and identify a superset of variables used in published research. Applying methods from machine learning to optimize variable selection, we build models that explain market reaction to auditor changes. We compare the performance of our models with the performance of the models that use subsets of variables examined in a select list of studies in the literature. Our meta-analysis results in an improvement in model fit compared to the analysis used in prior studies.

Keywords: Control variables; Cumulative abnormal returns; OLS Post-LASSO; Variables selection (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ddj:fseeai:y:2019:i:3:p:5-15

DOI: 10.35219/eai1584040949

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