Event-study methodology under conditions of event-induced variance

Boehmer, Ekkehart

doi:10.1016/0304-405x(91)90032-f

Cited by 1,437 publications

(1,125 citation statements)

References 21 publications

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“…Using methods from the literature on event studies, comprehensively described in Brown and Warner (1980) and Boehmer, Musumeci and Poulsen (1991), this section investigates the returns on funds around their inception and termination dates. Prior to the death of each fund, we computed for each sector the mean abnormal return by subtracting from the fund's return the return on the equalweighted portfolio of all funds in existence in the same sector over the same period, including those that subsequently died.…”

Section: Relative Returns Performance Prior To Terminationmentioning

confidence: 99%

“…These standard errors were computed using the 'ordinary cross-sectional method' (cf. Boehmer et al (1991)) and thus have the advantages of being robust to event-induced het- For each asset category and every fund, abnormal returns were computed by deducting the return on the portfolio of existing funds in a given month from the fund's own return in the same month. These abnormal returns were then aligned in event time, the event being either the birth or the death of the fund, and equal-weighted portfolios were formed.…”

Section: Relative Returns Performance Prior To Terminationmentioning

confidence: 99%

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Mutual Fund Performance: Evidence from the UK

Blake¹,

Timmermann²

1998

Review of Finance

188

101

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Abstract. This paper uses a large sample containing the complete return histories of 2300 UK openended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistence of performance and the existence of a substantial survivor bias. Similar findings have been reported for US equity mutual funds. New findings not previously documented for other markets include evidence that mutual fund performance varies substantially across different asset categories, especially foreign asset categories. We also identify some new patterns in performance related to the funds' distance from their inception and termination dates: underperformance intensifies as the fund termination date approaches, while, in contrast, there is some evidence that funds (weakly) outperform during their first year of existence.

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Section: Relative Returns Performance Prior To Terminationmentioning

confidence: 99%

Section: Relative Returns Performance Prior To Terminationmentioning

confidence: 99%

Mutual Fund Performance: Evidence from the UK

Blake¹,

Timmermann²

1998

Review of Finance

188

101

View full text Add to dashboard Cite

show abstract

“…To check the sensitivity of our results with respect to event-induced variance changes, we also employ the event study method developed by Boehmer et al (1991). Boehmer et al suggest the following statistics to test whether SAR t and CSAR s are different from zero:…”

Section: Measuring Abnormal Returnsmentioning

confidence: 99%

Investment opportunities and market reaction to capital expenditure decisions

Chung

Wright

Charoenwong

1998

Journal of Banking & Finance

146

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In this study, we argue that share price reaction to a ®rm's capital expenditure decisions depends critically on the market's assessment of the quality of its investment opportunities. We postulate that announcements of increases (decreases) in capital expenditures positively (negatively) a ect the stock prices of ®rms with valuable investment opportunities. Contrarily, we predict that announcements of increases (decreases) in capital spending negatively (positively) a ect the share prices of ®rms without such opportunities. Our empirical results are generally consistent with these predictions. Overall, empirical evidence supports our conjecture that it is the quality of the ®rm's investment opportunities rather than its industry a liation which determines the share price reaction to its capital expenditure decisions. Ó 1998 Elsevier Science B.V. All rights reserved. JEL classi®cation: G14

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“…[47] shows that this test is not affected by event-induced variance (this occurs when the variance of abnormal return during the event is greater than the variance of the abnormal return in the estimation period). This variance occurs mainly for smaller firms.…”

Section: At a Given Date E(rit) = The Expected Return Of Firm I At Thmentioning

confidence: 94%

“…The test procedure follows the standardised cross-sectional t-test [47]. This standardises the abnormal returns for the given event date using the standard deviation of the abnormal returns during the estimation period.…”

Section: At a Given Date E(rit) = The Expected Return Of Firm I At Thmentioning

confidence: 99%

Do Board Characteristics Matter to Insider Timing and Profitability in the US Market?

Kiwia¹

2017

JFE

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In this paper I analyze the relationship between insider trading and corporate governance characteristics.Despite, the widely held view that insider trading significantly affects stock prices; little is known about what causes such market inefficiency and whether firm characteristics matters. This paper focuses on the impact of board structure towards insider trading and stock price efficiency. Using an event study methodology, this paper analyzes the influence of different board characteristics on insider profits as measured by share price abnormal returns. It also uses purchase ratio as a proxy for insider trading activities. Findings suggest that higher board independence, small board size and high debt levels have a significant influence towards reducing insider profits. The trading activities of insiders appear to have no significant relationship to the corporate governance characteristics of the firm. The overall results suggest that good governance reduces insider abnormal profits and increase stock price efficiency. With regards to insider trading activities we found little evidence suggesting corporate governance impact insider trading associated with future cash-flows. The study uses a sample of 250 firms from S&P 500 Index from 2000 to 2005.

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Event-study methodology under conditions of event-induced variance

Cited by 1,437 publications

References 21 publications

Mutual Fund Performance: Evidence from the UK

Mutual Fund Performance: Evidence from the UK

Investment opportunities and market reaction to capital expenditure decisions

Do Board Characteristics Matter to Insider Timing and Profitability in the US Market?

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