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Econometric Analysis of Event Studies

事件研究的计量经济学分析

基本信息

批准号：
12630099
负责人：
MCKENZIE Colin
金额：
$ 1.86万
依托单位：
Keio University (2003)Osaka University (2000-2002)
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2000
资助国家：
日本
起止时间：
2000 至 2003
项目状态：
已结题

项目摘要

The purpose of this study is to examine some of the econometric problems that arise in event studies which are typically used to investigate what impact a particular event has on the firm's share price or the price of bonds it has issued. First, the theoretical impact of including in the model of interest a variety of generated variables was analyzed. The asymptotic impact of using a generated variable on the consistency of estimators and on the standard errors of estimators is shown to depend among other things on the number of observations in the first and second stage regressions, and the type of generated regressor used. Solutions to these problems are carefully described. Second, the small sample impact of using some generated variables was analyzed using a Monte Carlo study. It was found that some instrumental variable estimators had smaller biases than ordinary least squares based estimators, but the sizes and powers of tests associated with the coefficient of the generated variable do not seem to be affected by the presence of the generated variable. In contrast, the sizes of tests associated with the coefficient of the non generated explanatory variable are considerably distorted when the generated variable should be included in the structural equation. Third, a variety of solutions to the generated variable problem are illustrated using event study and non-event study data. These solutions include system estimation, adjusting standard errors using White or Newey-West corrections, and instrumental variable estimation. Finally, the use of bond prices in event studies for Japanese data was investigated. For event studies investigating any misspricing associated with a new bond issue, over the counter quotations are found to be more appropriate.

本研究的目的是探讨事件研究中出现的一些计量经济学问题，事件研究通常用于调查特定事件对公司股价或债券价格的影响。首先，分析了在感兴趣的模型中包括各种生成变量的理论影响。使用一个生成的变量的估计量的一致性和估计量的标准误差的渐近影响，除其他事项外，取决于在第一和第二阶段回归的观测值的数量，以及所使用的生成的回归量的类型。对这些问题的解决方案进行了详细描述。其次，使用Monte Carlo研究分析了使用一些生成变量的小样本影响。有人发现，一些工具变量估计比普通的最小二乘估计有更小的偏差，但与生成的变量的系数相关的测试的大小和功率似乎不受生成的变量的存在。与此相反，与非生成的解释变量的系数相关联的测试的大小是相当扭曲时，生成的变量应包括在结构方程。第三，使用事件研究和非事件研究数据来说明生成变量问题的各种解决方案。这些解决方案包括系统估计、使用白色或Newey-West校正调整标准误差以及工具变量估计。最后，在日本数据的事件研究中使用债券价格进行了调查。对于调查与新债券发行相关的任何错误定价的事件研究，发现柜台报价更合适。