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• W2035454791 abstract "Empirical results, in long-horizon event studies, are sensitive to whether equal- or value-weighting schemes are used to form event firm portfolios. In this paper we propose, as a first step, an evaluation of the economic value to investing in an equal-weighted and a value-weighted event firm portfolio prior to the event study. Using tests for mean-variance spanning we find in our data a significant improvement in an investor's investment opportunity set to investing in an equal-weighted portfolio. We then re-visit the long-run post-offer performance for rights issuers in the U.K. where we find, as in other studies, differences in both the magnitude and statistical significance of abnormal performance for value-weighted and equal-weighted event firm portfolios. We then use the results from our first step to provide an economic rationale for interpreting our results. A general conclusion we draw is that it may be useful to first ascertain, in long-horizon event studies, the economic value of portfolio weighting schemes as this can then provide some guidance to the use of a specific portfolio weighting scheme and thereby to interpretation of often conflicting results." @default.
• W2035454791 created "2016-06-24" @default.
• W2035454791 creator A5057152284 @default.
• W2035454791 creator A5063968536 @default.
• W2035454791 date "2007-01-01" @default.
• W2035454791 modified "2023-10-16" @default.
• W2035454791 title "Long-horizon event studies and event firm portfolio weights: Evidence from U.K. rights issues re-visited" @default.
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• W2035454791 doi "https://doi.org/10.1016/j.irfa.2005.02.001" @default.
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