Event study Statistics Project Example | Topics and Well Written Essays - 1750 words

Event study - Statistics Project ExampleMarket capitalization entails a multiplication of the enumerate number that a company owns by the price of each share.With respect to the perspectives of the efficient market meditation and the PEAD, this paper aims at interrogatory the PEAD phenomenon on a non-American market, Greek market. The paper considers the availability of 80 companies selected haphazardly for assessment on how PEAD affects the Greek market. The data for the 80 companies has been obtained from secondary sources especially the internet (Vaios). Considering available statistics, the capital of Greece Stock Exchange a daily announcement of shekels effect on the markets. The data use in this paper considers four SUE portfolios based on returns quoted prices as one method of testing the PEAD phenomenon and examination of whether market over and under reaction usually exist through the use of event study methodology. Finally, this paper also classifies the sample firms regarding their response or exposure to the PEAD phenomenon.In this paper, the selection of the utilise sample was based on the consideration of all companies listed in the ASE. Out of the 264 firms listed in the ASE, 80 were selected from which their insurance coverage of earnings from the year 2001 to 2008 (Vaios). Among the data sets that will be considered in this case include the quarterly earnings per share, corresponding announcement dates of the quarterly returns per share, and the closing prices of the stocks (Brown and Warner, 328). Besides the random selection of the companies, all without quarterly earnings per share were excluded (Vaios). The exclusion in this case involves the dates of announcements and, therefore, the consideration of annual returns per share as this would not array the major changes that occurred after each announcement. For instance, considering that positive announcements can affect markets for as long as 40 days in the Greek market, it is cle ar that annual EPS may not reflect any major