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Erschienen in:
2015 | OriginalPaper | Buchkapitel
Data Collection in Long-Run or Short-Run Format?
verfasst von : Jau-Lian Jeng, Ph.D.
Erschienen in: Analyzing Event Statistics in Corporate Finance
Verlag: Palgrave Macmillan US
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In this chapter, a critical question is raised for the empirical finance of corporate event studies. That is, what kind of data set should one apply? Should the short-run data set such as daily returns (or even high-frequency data) be applied? Or, should one try with the longer horizon data? A painful browse through all related literature shows that it is easy to find that there is no definite rule applied to this issue. One question often asked is whether the short-run returns contain more updated information or, the longer horizon data that may provide more insightful views since the impacts of corporate events may be persistent over time.