{"id":"https://openalex.org/W114500017","doi":"https://doi.org/10.1007/978-3-7908-2604-3_41","title":"A Markov Switching Re-evaluation of Event-Study Methodology","display_name":"A Markov Switching Re-evaluation of Event-Study Methodology","publication_year":2010,"publication_date":"2010-01-01","ids":{"openalex":"https://openalex.org/W114500017","doi":"https://doi.org/10.1007/978-3-7908-2604-3_41","mag":"114500017"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-7908-2604-3_41","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-7908-2604-3_41","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of COMPSTAT'2010","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://hdl.handle.net/11393/41753","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5058423016","display_name":"Rosella Castellano","orcid":"https://orcid.org/0000-0002-4115-8141"},"institutions":[{"id":"https://openalex.org/I55133342","display_name":"University of Macerata","ror":"https://ror.org/0001fmy77","country_code":"IT","type":"education","lineage":["https://openalex.org/I55133342"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Rosella Castellano","raw_affiliation_strings":["Dip. di Istituzioni Economiche e Finanziarie, Universit\u00e0 di Macerata, via Crescimbeni 20, 62100, Macerata, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dip. di Istituzioni Economiche e Finanziarie, Universit\u00e0 di Macerata, via Crescimbeni 20, 62100, Macerata, Italy","institution_ids":["https://openalex.org/I55133342"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5080780155","display_name":"Luisa Scaccia","orcid":"https://orcid.org/0000-0002-4086-8547"},"institutions":[{"id":"https://openalex.org/I55133342","display_name":"University of Macerata","ror":"https://ror.org/0001fmy77","country_code":"IT","type":"education","lineage":["https://openalex.org/I55133342"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Luisa Scaccia","raw_affiliation_strings":["Dip. di Istituzioni Economiche e Finanziarie, Universit\u00e0 di Macerata, via Crescimbeni 20, 62100, Macerata, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dip. di Istituzioni Economiche e Finanziarie, Universit\u00e0 di Macerata, via Crescimbeni 20, 62100, Macerata, Italy","institution_ids":["https://openalex.org/I55133342"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I55133342"],"apc_list":null,"apc_paid":null,"fwci":2.8912,"has_fulltext":true,"cited_by_count":5,"citation_normalized_percentile":{"value":0.94007404,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":null,"issue":null,"first_page":"429","last_page":"436"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11653","display_name":"Financial Distress and Bankruptcy Prediction","score":0.9927999973297119,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.6779845356941223},{"id":"https://openalex.org/keywords/event","display_name":"Event (particle physics)","score":0.6040568351745605},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.542667806148529},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.1496374011039734},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.0478975772857666}],"concepts":[{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.6779845356941223},{"id":"https://openalex.org/C2779662365","wikidata":"https://www.wikidata.org/wiki/Q5416694","display_name":"Event (particle physics)","level":2,"score":0.6040568351745605},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.542667806148529},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.1496374011039734},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0478975772857666},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/978-3-7908-2604-3_41","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-7908-2604-3_41","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of COMPSTAT'2010","raw_type":"book-chapter"},{"id":"pmh:oai:u-pad.unimc.it:11393/41753","is_oa":true,"landing_page_url":"http://hdl.handle.net/11393/41753","pdf_url":"http://hdl.handle.net/11393/41753","source":{"id":"https://openalex.org/S4377196455","display_name":"U-PAD Unimc - Open Digital Publications (University of Macerata)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I55133342","host_organization_name":"University of Macerata","host_organization_lineage":["https://openalex.org/I55133342"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/bookPart"}],"best_oa_location":{"id":"pmh:oai:u-pad.unimc.it:11393/41753","is_oa":true,"landing_page_url":"http://hdl.handle.net/11393/41753","pdf_url":"http://hdl.handle.net/11393/41753","source":{"id":"https://openalex.org/S4377196455","display_name":"U-PAD Unimc - Open Digital Publications (University of Macerata)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I55133342","host_organization_name":"University of Macerata","host_organization_lineage":["https://openalex.org/I55133342"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/bookPart"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W114500017.pdf","grobid_xml":"https://content.openalex.org/works/W114500017.grobid-xml"},"referenced_works_count":14,"referenced_works":["https://openalex.org/W200638299","https://openalex.org/W1521361552","https://openalex.org/W1985148971","https://openalex.org/W2059339978","https://openalex.org/W2061998345","https://openalex.org/W2108873762","https://openalex.org/W2124044492","https://openalex.org/W2128778916","https://openalex.org/W2131456352","https://openalex.org/W2138047972","https://openalex.org/W2160148120","https://openalex.org/W3121214655","https://openalex.org/W3124738382","https://openalex.org/W4299846046"],"related_works":["https://openalex.org/W2748952813","https://openalex.org/W2390279801","https://openalex.org/W2358668433","https://openalex.org/W2376932109","https://openalex.org/W2001405890","https://openalex.org/W2382290278","https://openalex.org/W2350741829","https://openalex.org/W2530322880","https://openalex.org/W1596801655","https://openalex.org/W2359140296"],"abstract_inverted_index":{"This":[0],"paper":[1],"reconsiders":[2],"event-study":[3],"methodology":[4,67],"in":[5,17],"light":[6],"of":[7,51,59,73,100],"evidences":[8],"showing":[9],"that":[10],"Cumulative":[11],"Abnormal":[12],"Return":[13],"(CAR)":[14],"can":[15,30],"result":[16],"misleading":[18],"inferences":[19],"about":[20],"financial":[21],"market":[22,111],"efficiency":[23],"and":[24,43,116],"pre(post)-event":[25],"behavior.":[26],"In":[27],"particular,":[28],"CAR":[29],"be":[31],"biased":[32],"downward,":[33],"due":[34],"to":[35,55,70,84],"the":[36,40,49,57,98,118,121,125],"increased":[37],"volatility":[38],"on":[39,62,77],"event":[41,45,61],"day":[42],"within":[44],"windows.":[46],"We":[47],"propose":[48],"use":[50],"Markov":[52],"Switching":[53],"Models":[54],"capture":[56],"effect":[58],"an":[60],"security":[63],"prices.":[64],"The":[65],"proposed":[66],"is":[68],"applied":[69],"a":[71,101],"set":[72],"45":[74],"historical":[75],"series":[76],"Credit":[78],"Default":[79],"Swap":[80],"(CDS)":[81],"quotes":[82],"subject":[83],"multiple":[85],"credit":[86],"events,":[87],"such":[88],"as":[89],"reviews":[90,113],"for":[91,114],"downgrading.":[92],"Since":[93],"CDSs":[94],"provide":[95],"insurance":[96],"against":[97],"default":[99],"particular":[102],"company":[103],"or":[104],"sovereign":[105],"entity,":[106],"this":[107],"study":[108],"checks":[109],"if":[110],"anticipates":[112],"downgrading":[115],"evaluates":[117],"time":[119],"period":[120],"announcements":[122],"lag":[123],"behind":[124],"market.":[126]},"counts_by_year":[{"year":2017,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":3}],"updated_date":"2026-06-26T08:34:08.712188","created_date":"2025-10-10T00:00:00"}