Investigating security-price performance in the presence of event-date uncertainty

This paper introduces an event-study method that incorporates the possibility of a random event date. Consistent with empirical evidence, we assume an event may affect not only the conditional mean of a security's return, but also its conditional variance. We compare the statistical power and e...

Full description

Saved in:
Bibliographic Details
Published inJournal of financial economics Vol. 22; no. 1; pp. 123 - 153
Main Authors Ball, Clifford A., Torous, Walter N.
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.10.1988
Elsevier
North-Holland in collaboration with the Graduate School of Management, University of Rochester
Elsevier Sequoia S.A
SeriesJournal of Financial Economics
Subjects
Rates of return
Securities analysis
Security prices
Simulation
Statistical analysis
Stock prices
Stock splits
Uncertainty
Online AccessGet full text

Cover

More Information
Summary:This paper introduces an event-study method that incorporates the possibility of a random event date. Consistent with empirical evidence, we assume an event may affect not only the conditional mean of a security's return, but also its conditional variance. We compare the statistical power and efficiency of our maximum-likelihood method with the standard application of traditional event-study methods to multiday security returns. Assuming a two-day event period, our empirical results provide evidence that the multiday approach is robust. We use our maximum-likelihood method to investigate the valuation effects of stock splits and stock dividends.
ISSN:0304-405X
1879-2774
DOI:10.1016/0304-405X(88)90025-6