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The bond event study methodology since 1974
by
Schiereck, Dirk
, Maul, Daniel
in
Abnormal returns
/ Accounting/Auditing
/ Availability
/ Bond issues
/ Bonds
/ Corporate bonds
/ Corporate debt
/ Corporate Finance
/ Econometrics
/ Economics and Finance
/ Finance
/ Motivation
/ Municipal bonds
/ Operations Research/Decision Theory
/ Original Research
/ Research methodology
/ Securities industry
/ Statistics
/ Stock prices
/ Stockholders
/ Stocks
/ Studies
/ Yield
2017
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The bond event study methodology since 1974
by
Schiereck, Dirk
, Maul, Daniel
in
Abnormal returns
/ Accounting/Auditing
/ Availability
/ Bond issues
/ Bonds
/ Corporate bonds
/ Corporate debt
/ Corporate Finance
/ Econometrics
/ Economics and Finance
/ Finance
/ Motivation
/ Municipal bonds
/ Operations Research/Decision Theory
/ Original Research
/ Research methodology
/ Securities industry
/ Statistics
/ Stock prices
/ Stockholders
/ Stocks
/ Studies
/ Yield
2017
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Do you wish to request the book?
The bond event study methodology since 1974
by
Schiereck, Dirk
, Maul, Daniel
in
Abnormal returns
/ Accounting/Auditing
/ Availability
/ Bond issues
/ Bonds
/ Corporate bonds
/ Corporate debt
/ Corporate Finance
/ Econometrics
/ Economics and Finance
/ Finance
/ Motivation
/ Municipal bonds
/ Operations Research/Decision Theory
/ Original Research
/ Research methodology
/ Securities industry
/ Statistics
/ Stock prices
/ Stockholders
/ Stocks
/ Studies
/ Yield
2017
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Journal Article
The bond event study methodology since 1974
2017
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Overview
In the spirit of methodology reviews for stock event studies, like the one prepared by Binder (Rev Quant Financ Account 11:111–137,
1998
), this paper discusses the development of the event study methodology for corporate bonds since its first application with Katz (J Financ 29:551–559,
1974
). The motivation to conduct this review stems from two sources: First, the methodology utilized for stocks cannot simply be applied to bonds, as bonds present several features that strongly distinguish them from stocks. An erroneous model could lead to false conclusions about the impact of new information on a firm’s debt. Second, the availability of new sources for bond data enables the application of bond event studies for an increasing number of research frameworks. Thus, future research ought to be interested in the selection of the proper methodology. Consequently, this paper illustrates past and present event study methods utilized to calculate abnormal bond returns and reviews the applied parametric and non-parametric test statistics. Besides, insight on how the availability of corporate bond data has evolved through the last four decades, as well as the impact on prevailing methodology is provided. Altogether, this paper provides a first extensive snapshot of the current bond event study methodology and offers guidance for future research.
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