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Activity Number:
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413
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 1, 2007 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Statistical Consulting
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| Abstract - #309731 |
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Title:
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Proof of Changepoints in Securities Prices Litigation: Use and Misuse of Event History Analysis
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Author(s):
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Kenneth Swartz*+ and Yulia R. Gel and R. Alan Miller and William B. Fairley
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Companies:
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Analysis and Inference, Inc. and University of Waterloo and Philadelphia Investment Bank and Analysis and Inference, Inc.
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Address:
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Victoria Mills, Springfield, PA, 19064,
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Keywords:
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event history analysis ; changepoint ; time series ; securities prices ; lawsuit
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Abstract:
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The methodology of "event history analysis" treated in financial economics is often used for the purpose of testing the existence and estimating the amount of a changepoint in the price of a security. For example plaintiff shareholders bring a suit against a company whose stock appears to have suddenly dropped, and for which an explanation in terms of management actions is believed causal. Uses and misuses of this methodology, particularly from the viewpoint of time series analysis, are discussed with applications to cases.
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