State pricing, effectively complete markets, and corporate finance

Mark Grinblatt, Kam-Ming Wan

Forskningsoutput: TidskriftsbidragArtikelPeer review

2 Citeringar (Scopus)

Sammanfattning

Event study, panel regression, and difference-in-difference techniques are among the most prominent research methodologies in corporate finance. However, these techniques are inappropriate if corporate events are anticipated to some degree, as most events are. This paper proposes options as an additional model-free source of information to identify the likelihood and impact of corporate events. We show how to quantify event impact in a simple example and assert that few restrictions on the state space are required for the approach to work in more complex settings.
OriginalspråkEngelska
Artikelnummer101542
Referentgranskad vetenskaplig tidskriftJournal of Corporate Finance
Volym60
Antal sidor8
ISSN0929-1199
DOI
StatusPublicerad - 06.11.2019
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 511 Nationalekonomi

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