Inference in Long - Horizon Event Studies : A Bayesian Approach with Application to Initial Public Offerings  

Oleh:

Brav, Alon

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 5 (2000), page 1979-2016.
Topik: ipo; studies; initial public offerings; bayesiann analysis; rates of return; long term; models; statistical analysis
Fulltext: p 1979.pdf (213.09KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Statistical inference in long - horizon event studies has been hampered by the fact that abnormal returns are neither normally distributed nor independent. This study presents a new approach to inference that overcomes these difficulties and dominates other popular testing methods. I illustrate the use of the methodology by exmaining the long - horizon returns of initial public offerings (IPOs). I find that the fama and french (1993), three - factor model is inconsistent with the observed long - horizon price performance of these IPOs, whereas a characteristic - based model cannot be rejected.

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