事件研究方法综述

被引：8

作者：

黄晗 ^{[1
,2
]}

李明 ^{[1
,2
]}

机构：

[1] 湖北商务服务发展研究中心

[2] 武汉工商学院

来源：

关键词：

事件研究; 非正常收益率; 累计非正常收益率;

D O I：

10.13546/j.cnki.tjyjc.2018.13.015

中图分类号：

F832.51 [];

学科分类号：

摘要：

事件研究是一种经验财务研究方法,运用这种方法可以评估某一事件发生时的市场反应。文章首先介绍应用该方法的研究设计,然后对平均非正常收益率、累计平均非正常收益率的计算进行归纳,并介绍了它们的统计检验方法,包括参数检验和非参数检验方法。最后介绍事件研究方法在当前的应用和发展趋势。

引用

页码：66 / 71

页数：6

共 8 条

[1] Event studies: A methodology review[J] . Charles J.Corrado.Accounting ＆ Finance . 2011 (1)
[2] Does a Firm's Product-Recall Strategy Affect Its Financial Value? An Examination of Strategic Alternatives During Product-Harm Crises
Chen, Yubo
Ganesan, Shankar
Liu, Yong
[J]. JOURNAL OF MARKETING, 2009, 73 (06) : 214 - 226
[3] The impact of ICT-enabled offshoring announcements on share prices
Daniel, Elizabeth
Kodwani, Devendra
Datta, Sanjukta
[J]. JOURNAL OF ENTERPRISE INFORMATION MANAGEMENT, 2009, 22 (03) : 241 - +
[4] Exploring the characteristics of Internet security breaches that impact the market value of breached firms[J] . Francis K. Andoh-Baidoo,Kweku-Muata Osei-Bryson.Expert Systems With Applications . 2006 (3)
[5] Reexamining the value relevance of e-commerce initiatives
Dehning, B
Richardson, VJ
Urbaczewski, A
Wells, JD
[J]. JOURNAL OF MANAGEMENT INFORMATION SYSTEMS, 2004, 21 (01) : 55 - 82
[6] Estimating Expected Returns in an Event Study Framework: Evidence from the Dartboard Column[J] . Glenn N. Pettengill,John M. Clark.Quarterly Journal of Business and Economics . 2001 (3/4)
[7] Examining the shareholder wealth effects of announcements of newly created CIO positions
Chatterjee, D
Richardson, VJ
Zmud, RW
[J]. MIS QUARTERLY, 2001, 25 (01) : 43 - 70
[8] Nonparametric event study tests[J] . Arnold Richard Cowan.Review of Quantitative Finance and Accounting . 1992 (4)