Handbook of Corporate Finance Empirical Corporate Finance Volume 1

xx Contents of Volume 1 Introduction 40 I. MODELING SELF-SELECTION 41 Self-selection: The statistical issue 42 The baseline Hec ...

Contents of Volume 1 xxi 12.1. Bank debt versus bonds: Bharath (2004) 78 12.2. Matching and long-run performance: Cheng (2003), ...

xxii Contents of Volume 1 Chapter 4 Behavioral Corporate Finance MALCOLM BAKER, RICHARD S. RUBACK and JEFFREY WURGLER 145 Abstra ...

Contents of Volume 1 xxiii 5.3. Israel 214 The indirect role of commercial banks on capital markets 214 6.1. Market reaction to ...

xxiv Contents of Volume 1 Security offerings and market timing 330 5.1. Timing theories with rational market pricing 330 5.2. T ...

Contents of Volume 1 xxv 2.3. Self-selection and the endogeneity of the decision to become a conglomerate 433 Theory explaining ...

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PA RT 1 ECONOMETRIC ISSUES AND METHODOLOGICAL TRENDS ...

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Chapter 1 ECONOMETRICS OF EVENT STUDIES* S.P. KOTHARI Sloan School of Management, E52-325, Massachusetts Institute of Technology ...

4 S.P. Kothari and J.B. Warner 3.6.2. Quantitative results 15 3.6.3. Volatility 16 3.6.4. Results 17 3.7. Cross-sectional tests ...

Ch. 1: Econometrics of Event Studies 5 1. Introduction and background This chapter focuses on the design and statistical propert ...

6 S.P. Kothari and J.B. Warner borrow heavily from the contributions of published papers. Two early papers that cover a wide ran ...

Ch. 1: Econometrics of Event Studies 7 Ta b l e 1 Event studies, by year and journal. For each journal, all papers that contain ...

8 S.P. Kothari and J.B. Warner 2.2. Changes in event study methods: the big picture Even the most cursory perusal of event studi ...

Ch. 1: Econometrics of Event Studies 9 different points in calendar time or it might be clustered at a particular date (e.g., a ...

10 S.P. Kothari and J.B. Warner sometimes studied as well. The focus on mean effects, i.e., the first moment of the return distr ...

Ch. 1: Econometrics of Event Studies 11 abnormal performance equals zero.^4 The null hypothesis is rejected if the test statisti ...

12 S.P. Kothari and J.B. Warner dependence is accounted for because the variability of the portfolio returns through time incorp ...

Ch. 1: Econometrics of Event Studies 13 tests are well-specified only to the extent that the assumptions underlying their estima ...