The long estimation window used in this study is because it included the y-intercept and slope of the prices in calculating the expected return when the market model is chosen to evaluate the abnormal return (Wong, 2011). There is a study of Brockett, Chen and Garven mentioned that the beta in the market model varies over the time and was used to account for the temporal changes in the return process (Pynnonen, 2005). Besides that, the event window suggested in the study of Teall (as cited by Phua & Liew, 2011) is typically 30 days before and after the event. Therefore, the length of the event window in this study will follow to the literature.
22.214.171.124 Establish firm selection criteria
Next, choose an appropriate sample of firms
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The target company that listed in the table above shows that these companies were participating in the corporate crime which found in the report of SC. Among all crime announcement made by SC, there are 14 samples matched to this study which is considered as committing in corporate crime and also is the public listed company in Malaysia. The corporate crime which had been committed includes furnishing false information, making misleading statements, misleading appearance of active trading and others.
126.96.36.199 Calculate expected and abnormal returns for securities in the sample set
Once the sample companies are formed, calculate the actual return and expected return is the next task. The actual return of each target company stock will be calculated by using available data that obtained from various sources. The formula of the actual return is expressed as follows:
Ri,t = (r1-r0)/r0 (7)
The market return is defined as the securities return of the Kuala Lumpur Composite Index (KLCI). However, the quote of KLCI is no longer used in the stock market right now. It