Evaluation of The Pricing Model and Calendar-Time Portfolio Approach in Long-Term Event Study

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RAHIMPOUR MOHAMMAD; GHAEMI MOHAMMAD HOSSEIN

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Paper Information

Journal: JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL Year:2019 | Volume:15 | Issue:61 Page(s): 101-130

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Title

Evaluation of The Pricing Model and Calendar-Time Portfolio Approach in Long-Term Event Study

Author(s)

RAHIMPOUR MOHAMMAD | GHAEMI MOHAMMAD HOSSEIN | Issue Writer Certificate

Keywords

Long-Term Event StudyQ1

Calendar-Time Portfolio ApproachQ1

Abnormal ReturnQ2

Abstract

In the long-run event studies, the measurement of abnormal performance due to specific events in the long run is done according to different methods. The Calendar-Time Portfolio Approach is one of those methods used to calculate the Abnormal Returns resulting from the effect of the event being investigated on the stock price of the firms. In this study, based on the data of 321 firms in the period of 1396-1380, the power of those methods in the Iranian capital market were assessed through simulation. The results show that following a performance appraisal of stock prices of firms in the long run, the three-year period should be taken into account. In addition, the four-factor model based on stock liquidity in the ordinary least square, and the Fama and French’ s three-factor model, a four-factor model based on stock liquidity, a four-factor model based on stock beta and a four-factor model based on accruals in weight-average least squares, were identified as good models in the three-year period.

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APA: Copy

GHAEMI, MOHAMMAD HOSSEIN, & RAHIMPOUR, MOHAMMAD. (2019). Evaluation of The Pricing Model and Calendar-Time Portfolio Approach in Long-Term Event Study. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, 15(61 ), 101-130. SID. https://sid.ir/paper/360231/en

Vancouver: Copy

GHAEMI MOHAMMAD HOSSEIN, RAHIMPOUR MOHAMMAD. Evaluation of The Pricing Model and Calendar-Time Portfolio Approach in Long-Term Event Study. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL[Internet]. 2019;15(61 ):101-130. Available from: https://sid.ir/paper/360231/en

IEEE: Copy

MOHAMMAD HOSSEIN GHAEMI, and MOHAMMAD RAHIMPOUR, “Evaluation of The Pricing Model and Calendar-Time Portfolio Approach in Long-Term Event Study,” JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, vol. 15, no. 61 , pp. 101–130, 2019, [Online]. Available: https://sid.ir/paper/360231/en

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