Data Collection in Long-Run or Short-Run Format?

Jau-Lian Jeng
Additional contact information
Jau-Lian Jeng: Azusa Pacific University

Chapter Chapter 1 in Analyzing Event Statistics in Corporate Finance, 2015, pp 3-27 from Palgrave Macmillan

Abstract: Abstract In this chapter, a critical question is raised for the empirical finance of corporate event studies. That is, what kind of data set should one apply? Should the short-run data set such as daily returns (or even high-frequency data) be applied? Or, should one try with the longer horizon data? A painful browse through all related literature shows that it is easy to find that there is no definite rule applied to this issue. One question often asked is whether the short-run returns contain more updated information or, the longer horizon data that may provide more insightful views since the impacts of corporate events may be persistent over time.

Keywords: Stock Return; Abnormal Return; Event Study; Event Window; Asset Price Model (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-49160-2_1

Ordering information: This item can be ordered from
http://www.palgrave.com/9781137491602

DOI: 10.1057/9781137491602_1

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().