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Time Will Tell! A Method with Occupation Time Statistics

In: Analyzing Event Statistics in Corporate Finance

Author

Listed:
  • Jau-Lian Jeng

    (Azusa Pacific University)

Abstract

In this chapter, an alternative method is introduced to assess the impact of corporate events such as mergers and acquisitions on the firms. The method differs from the conventional event study tests in that, instead of testing the parameter changes over time, the durability of the parameter changes and persistence of the impacts is idscussed. In other words, the method considers the intensitity of the impacts from announcements or events may last over time. In terms of properties of stochastic processes, this persistence over time can be represented by the so-called occupation time (or sojourn time) of the underlying stochastic processes constructed by the statistics of interest.

Suggested Citation

  • Jau-Lian Jeng, 2015. "Time Will Tell! A Method with Occupation Time Statistics," Palgrave Macmillan Books, in: Analyzing Event Statistics in Corporate Finance, chapter 0, pages 135-167, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-49160-2_5
    DOI: 10.1057/9781137491602_5
    as

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