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https://hdl.handle.net/20.500.14279/24586
Τίτλος: | Consequences of Outlier Returns for Event Studies: A Methodological Investigation and Treatment | Συγγραφείς: | Theodossiou, Panayiotis Theodossiou, Alexandra K. |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Cumulative abnormal returns;Maximum likelihood outlier-resistant estimation method;Monte Carlo simulations;Multifactor asset pricing models;Ordinary least squares method | Ημερομηνία Έκδοσης: | 1-Σεπ-2021 | Πηγή: | International Journal of Accounting, 2021, vol. 56, no. 3, articl. no. 2150013 | Volume: | 56 | Issue: | 3 | Περιοδικό: | International Journal of Accounting | Περίληψη: | Stock returns are decomposed into their regular and outlier components using a maximum likelihood outlier-resistant estimation method. Analytical results depicting the impact of outliers on the ordinary least square (OLS) estimated models and cumulative abnormal return (CAR) statistics are derived and validated using Monte Carlo simulations. The implications of outliers for past event studies are investigated using samples drawn randomly from the universe of stocks in the CRSP database. The OLS-CAR statistics fail to forecast about 37% of the negative-impact and 43% of the positive-impact events. These results raise serious concerns about the validity of conclusions of past event studies, especially those that rejected the hypothesis of significant-impact events. | URI: | https://hdl.handle.net/20.500.14279/24586 | ISSN: | 00207063 | DOI: | 10.1142/S109440602150013X | Rights: | © Board of Trustees, Vernon K. Zimmerman Center, University of Illinois. | Type: | Article | Affiliation: | Cyprus University of Technology Texas A and M University |
Publication Type: | Peer Reviewed |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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