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徵讪庾
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1 RESEARCH REPORT

3 CORPORATE CONTROL

4 ABSTRACT KEY WORDS: Benefits of Control, Control Structure Ultimate Controller, Effective Controller, Value Impact Starting from the economic concepts of Corporate Control, the report elaborates on the concepts of Corporate Control Structure (CCS) to establish an analysis framework for CCS. As integral to the theoretical background for hypotheses of the research, there are included the theoretical associations between CCS and Corporate Value, the concise theoretical review about corporate disclosure and the value impact of corporate disclosure. To test the hypotheses, CCS disclosures in announcements about takeovers of public companies listed in Shenzhen Stock Exchange SSE between January 01, 2001 and June 30, 2003 are selected from regulatory databases from SSE and CSRC for adjusted according to research task. The Results of CAAR and their explanation models indicate the validities of hypotheses: Compared with the cases in which CCS not disclosed, the CAAR over a short window including the event day for the cases in which CCS disclosed is significantly higher and is significantly than zero. Based on the theoretical analyses, empirical evidences and comparative review about the developments in fields of Corporate Control Structure Disclosure (CCSD) in China capital market and International Capital markets, implications for practices and policies are suggested. The report argues that enhanced disclosures and regulations about CCS should be systematically promoted according to the framework initiated in the report and a regulatory database should be established complementing extant systems to enhance the effectiveness and efficiency in the treatment of unexpected occurrences and risks, the regulations of significant events and transactions of public companies and especially the regulations of Control-based Group-Affiliation in China capital markets.

5 A A

6 A4 [-60,+30]...48 A4 T A A A A5.4 DISC...57 A

7 1 CONTROL-BASED GROUP-AFFILIATION % 5%

8 2 3 1 CORPORATE CONTROL 3

9 JENSEN & RUBACK 1983 RIGHTS TO DETERMINE THE MANAGEMENT OF CORPORATE RESOURCES / FAMA & JENSEN 1983A 1983B JENSEN 1992 / BLUMBERG 1983 THE POWER TO ELECT A MAJORITY OF THE BOARD OF DIRECTORS OF THE COMPANY AND THUS THE POWER TO DIRECT THE MANAGEMENT OF ITS BUSINESS AND AFFAIRS LOSS & SELIGMAN 2001 DOMINANT POWERS TO DETERMINE A BUSINESS OPERATIONS AND DECISIONS 4 4 Harris & Raviv

10 BLUMBERG 1983 LOSS & SELIGMAN 2001 POWER RIGHTS 2001 P25 5 LA PORTA LOPEZ-DE-SILANES & SHLEIFER LLS BEBCHUK ET AL LLS LLS 1999 OWNERSHIP VOTING RIGHTS CASH-FLOW RIGHTS WIDELY HELD ULTIMATE OWNERS

11 LLS % NCult 1 NC ult = 0 2 NC ult = 1 3 NC ult > 1 NC ult = 0 NCult 1 NC ult = 1 CONTROLLER ULTIMATE CONTROLLER EFFECTIVE CONTROLLER NC ult > 1 7 NC ult = 1 / NC ult > 1 NC ult > 1 EFFECTIVE CONTROLLER 8 / 9 NC ult > / 5

12 / / % 2 BENEFITS OF CORPORATE CONTROL BARCLAY & HOLDERNESS 1989 SHLEIFER & VISHNY 1986 MCCONNELL & MIKKELSON 1983 ZINGALES 1995 SHARED BENEFITS PRIVATE BENEFITS / / 6

13 / BEBCHUK KRAAKMAN & TRIANTIS 1999 / LLS 1999 BAI LIU & SONG % 26.32% FACCIO & LANG PEEV CLAESSENS DJANKOV FAN & LANG BAI LIU & SONG

14 / V = F( cfdiv, Θ) V cfdiv Θ 13 F ( ) V cfdiv cfdiv Vcfdiv 0 Θ V V 0 lim V = lim F ( cfdiv, Θ) = 0 cfdiv 0 cfdiv FISHMAN & HAGERTY 1992 COPELAND & GALAI HIDDEN ACTIONS HIDDEN KNOWLEDGE 8

15 ADVERSE SELECTION GROSSMAN & HART 1980 GROSSMAN & HART SIGNALING VERRECCHIA 2001 GROSSMAN & HART 1980 GROSSMAN 1981 MILGROM 1981 P.414 COPELAND & GALAI 1983 VERRECCHIA 1983 JOVANOVIC 1982 LANEN & VERRECCHIA

16 2 / / V0 V 1 V info V V disc 1.1 ( E V ) = E( V ) + E( V V ) + E( V ) 1 0 info disc disc / / / 15 γ γ / γ = 0 / / γ / V violen γ V violen ( E V ) = E( V ) + E( V V ) + E( V ) E( V ) 1 0 info disc disc violen / V = V V ( E V) = E( V V ) + E( V ) E( V ) V V V V V ( E V ) 0 info disc disc violen violen 15 γ γ γ BENEISH

17 E( V ) = 0 E( V ) > 0 violen 1.3 E ( V info V disc ) ( E V disc ) α β 1.3 α α α α 1.4A ( E V ) = E( V info V disc ) + E( V disc ) β β β β 1.4B ( E V ) = E( V V ) + E( V ) E( V ) info disc disc violen ( ) ( ) α β E V disc > E V disc / α α β β E ( V info V disc ) ( E V info V disc ) V β info V α info A B α α α α ( Vinfo,1, Vinfo,2,, Vinfo, j,, Vinfo, J ) Α= V V L V L V β β β β ( Vinfo,1, Vinfo,2,, Vinfo, k,, Vinfo, K ) Β= V V L V L V V = F( cfdiv) violen V V L V L V J 3 j 1 α α α α info,1 info,2 info, j info, J 11

18 V V L V L V K 3 k 1 β β β β info,1 info,2 info, k info, K 16 α β V info, J V info,1 V α j = 0 0 α α α α 1.5 V,1 V L 0 V L V nfo J V,1 V,2 L V 1.5 V E β β β info info,2 info, j i, info info info, K V α info α α β β ( V V ) E( V V ) info disc info disc V β 17 ( ) ( ) info ( ) ( ) α β α β E V disc > E V disc ( E V violen ) > 0 E V > E V / 1 16 / ( info disc ) ( info disc ) 17 E V α V α = 0 E V β V β 18 LEV & OHLSON LEV & OHLSON 1982 RELEVANCE BEAVER MACMINLAY 1997 MCWILLIAMS & SIEGEL 1997 BALL & BROWN 1968 FAMA 1969 BINDER 1998 MCWILLIAMS & SIEGEL

19 cfdiv α α lim V = lim F( cfdiv) = 0 V V cfdiv 0 cfdiv 0 ( ) E info disc E ( α α α V ) ( E V info V disc ) abs α α E ( V info V disc ) abs E ( α 20 disc ) V E V α > 0 ( V α ) ( V α info V α disc ) ( V α disc ) E V = E V V + E V > 0 ( disc ) 2 0 Dctrl D ctrl 1.3 D ˆ ctrl 20 abs ( ) 13

20 14 / / / / 21 21

21 A B [ 01Jan01, 01Dec 02) [ 01Dec02,30Jun03] τ 3.1 A/B A B B

22 / / 2002

23 I. N II. II.1. N II.2. 50% A II.3. 50% B II.4. E II.5. CU II.6. CL II.7. D

24 N 1.60 A 1.50 B % 50% E 1.00 CU 0.55 CL 0.45 D N/A/B/E CU/CL/D D CL CU E B A N 1 N/A/B 2 CL CU 3 / A 1.5 B A B 1.4 A N CL CU D

25 ( ) R 1 mτ µ m σ m L τ = 60 τ = 60 [ 260, 61] [ ] 260, [ 260, 61]

26 / / RITTER 1991 IPO / WOMACK 1996 IKENBERRY, LAKONISHOK & VERMAELEN 1995 LOUGHRAN & RITTER 1995 SPIESS & AFFLECK-GRAVES 1995 MICHARLY, THALER & WOMACK 1995 /BM IPO / /BM 27 BM AGRAWAL, JAFFE & MANKELKER AJM 1992 FAMA & FRENCH 1996 JAFFE & MANKELKER 1992 P1608 ( )( ) εit = Rit Rst βi βs Rmt Rft ε it R i t it R t i st β i i β s R NYSE mt t R FAMA & FRENCH 1996 P56 ft ( ) Rit Rft = αi + βi Rmt Rft + sismb + hi HML + εit ε it αi β i s i h SMB HML i BM BM 20

27 / DESAI & JAIN 1996 / BM DODD & RUBACK 1977 AGRAWAL, JAFFE & MANDELKER 1992 LOUGHRAN & VIJH 1997 /BM MITCHELL & STAFFORD 1998 /BM RAU & VERMAELEN 1998 /BM 1 FAMA FRENCH 2 HMLt 3 Q AJM 1992 s h ( ) ( ) ( ) 28 it ft = βim mt ft + βis t ft + βih t ft + εit R R R R R R R R R R ft f 0 s h ( ) ( ) ( ) R R = β R R + β R R + β R R + ε it f 0 im mt f 0 is t f 0 ih t f 0 it s h Rit = αi + βimrmt + βisrt + βihrt + εit ( 1 ) α = β β β R i im is ih f 0 28 Rft h Rt C C1 A s Rt pctlstk20 40 ( ] pctlstk pctlstk60 pctlstk80 0, pctlstk20 pctlstk, pctlstk ( pctlstk, pctlstk ] ( pctlstk, pctlstk ] ( ] (, ] pctlstk pctlstk R A mt 21

28 E( Ri τ ) AR iτ BALL & BROWN 1968 FAMA 1969 MACKINLAY 1997 ARi τ AGGREGATE ARi τ CAR BHAR τ 2 2 CAR ( τ, τ ) = AR = R E ( R ) CAAR i 1 2 i i i τ= τ1 τ= τ1 τ N = 1 τ τ τ ( τ, τ ) CAR ( τ, τ ) 1 2 i 1 2 N i= 1 τ 2 2 BHARi ( τ1, τ2) = [ 1+ Ri τ] 1+ E ( Ri τ ) BHAR t= τ1 t= τ1 N = 1 ( τ, τ ) BHAR ( τ, τ ) 1 2 i 1 2 N i= 1 τ CAR BHAR BARBER & LYON 1997 KOTHARI & WARNER 1997 RITTER 1991 CAR CUMULATIVE ABNORMAL RETURNS BHAR BUY-AND-HOLD ABNORMAL RETURNS 31 BARBER & LYON CAR 13% CAR BHAR 5% BHAR ( CAR BHAR) BHAR 28% CAR BHAR ( ) 22

29 GILSON & BLACK 1995 BHAR CAAR CAR CAAR BHAR BHAR CAR BHAR 2 A4 A4 [ 01Jan01, 30Nov02] [ 01Jan01, 30Jun03] CAAR _ NABE BHAR _ NABE CAAR _ CD BHAR _ CD CAAR BHAR A4 CAAR BHAR [ 01Jan01, 30Nov02] [ 01Jan01, 30Jun03] CAAR T=0 T= % A BARBER & LYON

30 2 1 2 SEFCIK & THOMPSON 1986 MCWILLIAMS & SIEGEL [ 30, + 5] CAR_30_5 DISC CAR _30_5 33 = α + β Disc + λ X + ε X λ β LEFTWICH 1981 DOUNKAS & HOLM M 2000 SEFCIK & THOMPSON 1986 MCWILLIAMS & SIEGEL CORPORATE CONTROL : 1 TOBIN S Q LLS CAR BAI LIU & SONG 2002 Q DODD & WARNER

31 X V = F( cfdiv, Θ) Θ Θ Θ X DUMPRD 34 CAR_60_31 [ 60, 31] CAR_30_5 [ 60, + 30] 34 T-1 T-2 25

32 CAR_30_5 CAR_60_31 DIMSON & MARSH AGRAWAL & JAFFE 2000 CAR CAR CAR TOBIN Q 2003 Q TENDER OFFER CAR Q CAR TOBIN Q Q A5.1 A B 35 26

33 A5.1 EPS BAI LIU & SONG 2002 ST 0 [ 3, 18] % 26.32% cfdiv 27

34 Vcfdiv Vcfdiv V CAR Vcfdiv CAR FACCIO & LANG 2000 CLAESSENS DJANKOV FAN & LANG Vcfdiv 2003 cfdiv 80% HIRFINDAL H_DIF Vcfdiv CAR H_DIF CAR CAR 13 15% 19 21% B_TYPE T_TYPE 1 B_TYPE T_TYPE

35 PEARSON CAR CAR CAR 36 2 CAR Q SIZE Q PEARSON Q CAR PEARSON A5.5 MODEL2 CAR SIZE PEARSON SIZE CAR P 10% SIZE CAR A5.5MODEL B_TYPE A5.2 PEARSON GROWTH CAR A5.5 MODEL GROWTH CAR 29

36 14 P 10% A5.3-1 CAR_60_31 Q LEV SIZE DISC CAR R 2 8.0% 5.5% 4.2% 3.6% 2.6% DISC CAR DISC P 10% CAR A5.3-1 A5.4-1 CAR_60_31 Q LEV SIZE DISC CAR H_DIF PREMIUM GROWTH DUMPRD CAR_60_31 Q LEV SIZE DISC A5.5 A5.5 MODEL

37 1 ; 2 CAAR 0 T = 10% FROST FACCIO & LANG 2000 PEEV 1998 CLAESSENS DJANKOV FAN & LANG BAI LIU & SONG

38 % 5% 5% 5% 5% 5% / 38 5%

39 39 LLS WORLD BANK 2000 ULTIMATE OWNERSHIPS 5% 5% BENEFICIAL OWNERSHIP OECD OECD 2002 BOOT & THAKOR % 5% 5% FROST 2003 ULTIMATE OWNERS 33

40 Agrawal, A. & Jaffe, J.F The Post-Merger Performance Puzzle in Advances in Mergers and Acquisitions Volume 1 edited by Cooper, C. & Gregory, A Elsevier Science, Nertherlands: Agrawal, A. & Jaffe, J.F. & Mandelker, G The Post-Merger Performance of Acquiring Firms in Acquisitions: A Re-examination of an anomaly, Journal of Finance 47: Bai, C., Liu, Q. & Song, F Value of Corporate Control: Evidence from China s Distressed Firms, Working Paper, University of Hong Kong. Ball, R. & Brown, P An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research 6: Banz, R The Relationship between Return and Market of Common Stocks, Journal of Financial Economics 9: Barber, B.M. & Lyon, J.D Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of test Statistics, Journal of Financial Economics 43: Beaver, W.H The Behavior of Security Prices and Its Implications for Accounting Research (Methods). Supplement to The Accounting Review 47: Bebchuk, L.A., Kraakman, R. & Triantis, G Stock Pyramids, Cross-Ownership and Dual Class Equity: The Mechanisms and Agency Costs of Separating Control From Cash-Flow Rights, Harvard Law School Olin Discussion Paper No Beneish, M.D The Detection of Earnings Manipulation, Financial Analysts Journal 55: Binder, J.J The Event Study Methodology Since 1969, Review of Quantitative Finance and Accounting 11: Blumberg, P.I., The Law of Corporate Groups: Procedural Problems in the Law of Parent and Subsidiary Corporations. Boston: Little, Brown. Boot, A.W.A. & Thakor, A.V The Many Faces of Information Disclosure, The Review of Financial Studies 14: Campbell, J.Y., Andrew, W.L. & MacKinlay, A.C The Econometrics of Financial Markets. Princeton, N.J.: Princeton University Press. Claessens, S., Djankov, S., Fan, J. & Lang, H.P The Separation of Ownership and Control in East Asian Corporation, Journal of Financial Economics 58: Copeland, T. & Galai, D Information Effects on the Bid-Ask Spreads, Journal of Finance 38: Desai, H. & Jain, P.C Long-Run Common Stock Returns following Stock Splits and Stock Dividends, Working Paper, Tulane University. Dimson, E. & Marsh, P Event Study Methodologies and the Size Effect: The Case of UK Press Recommendations, Journal of Financial Economics 17: Dodd, P. & Ruback, R Tender Offers and Shareholder Returns: An Empirical Analysis, Journal of Financial Economics 5: Dodd, P. & Warner, J On corporate governance: a study of proxy contests, Journal of Financial Economics 11: Doukas, J. & Holmèn, M Managerial Ownership and Risk-Reducing Acquisitions in Advances in Mergers and Acquisitions Volume 1 edited by Cooper, C. & Gregory, A Elsevier Science, Nertherlands: Dye, R.A An Evaluation of Essays on Disclosure and the Disclosure Literature in Accounting, Journal of Accounting and Economics 32: Faccio, M. & Lang, L.H.P The Separation of Ownership and Control: An Analysis of Ultimate Ownership in Western European Corporations. EFA 0136, Working Paper. Fama, E.F., Fisher, L., Jensen, M.C. & Roll, R The Adjustment of Stock Prices to New Information, International Economic Review 10: Fama, E.F. & Jensen, M.C. 1983a. Separation of Ownership and Control, Journal of Law and Economics 26: 34

41 Fama, E.F. & Jensen, M.C. 1983b. Agency Problem and Residual Claims, Journal of Law and Economics 26: Fishman, M.J. & Hagerty, K.M Insider Trading and the Efficiency of Stock Prices Rand Journal of Economics 23: Frost, C.A Disclosure Survey 2003, World Federation of Exchanges Paper, November Grossman, S.J The Role of Warranties and Private Disclosure about Product Quality, Journal of Law and Economics 24: Grossman, S.J. & Hart, O.D Disclosure Laws and Takeover Bids, Journal of Finance 35: Harris, M. & Raviv, A The Design of Securities, Journal of Financial Economics 24: Ikenberry, D., Lakonishok, J. & Vermaelen, T Market under-reaction to Open Market Share Repurchase, Journal of Financial Economics 39: Jensen, M.C. & Ruback, R The Market for Corporate Control: The Scientific Evidence, Journal of Financial Economics 11: JENSEN, Jovanovic, B Truthful Disclosure of Information. Bell Journal of Economics 13: Kim, O. & Verrecchia, R.E Market Liquidity around Earnings Announcements, Journal of Accounting and Economics 17: Kothari, S.P. & Warner, J.B Measuring Long-Horizon Security Price Performance, Journal of Financial Economics 43: Lanen, W.N. & Verrecchia, R.E Operating Decision and the Disclosure of Management Accounting Information, Journal of Accounting Research 25 (Suppl.): La Porta, R. Lopen-de-Silanes, F. & Shleifer, A Corporate Ownership Around the World, Journal of Finance 54: Lev, B. & Ohlson, J.A Market-Based Empirical Research In Accounting: A Review, Interpretation and Extension. Supplement to Journal of Accounting Research 20: Longhran, T. & Ritter, J.R The New Issues Puzzle, Journal of Finance 50: Longhran, T. & Vijh, A.M Do Long-Term Shareholders Benefit from Corporate Acquisition, Journal of Finance 54: Loss, L. & Seligman, J Fundamentals of Securities Regulation. Aspen Law & Business Press Inc. New York. McWilliams, A. & Siegel, D Event Studies in Management Research: Theoretical and Empirical Issues, The Academy of Management 40: MacKinlay, A.C Event Studies in Economics and Finance. Journal of Economic Literature 35: Michaely, R., Thaler, R.H. & Womack, K.L Price Reaction to Dividend Initiations and Omissions: Over-reaction or Drift? Journal of Finance 50: Migrom, P Good News and Bad News: Representation Theorem and Applications, Bell Journal of Economics 12: Mitchell, M.L. & Stafford, E Managerial Decisions and Long-Term Stock Price Performance. Working Paper, Harvard Business Scool. OECD, Options for Obtaining Beneficial Ownership and Control Information: A Template prepared by the Steering Group on Corporate Governance. OECD, OECD Principles of Corporate Governance, Draft Revised Text. Peev, E Separation of Ownership and Control in Transitional Economies, Bulgarian Academy of Sciences, Working Paper. 35

42 Ritter, J.R The Long-Run Performance of Initial Public Offerings. Journal of Finance 46: Rau, P.R. & Vermaelen, T Glamour, Value and the Post-Acquisition Performance of Acquiring Firms, Journal of Financial Economics 49: Renganum, M Misspecification of Capital Asset Pricing, Journal of Financial Economics 9, Sefcik, S.E. & Thompson, R An Approach to Statistical Inference in Cross-Sectional Model with Security Abnormal Returns as Dependent Variable, Journal of Accounting Research 24: Spiess, D.K. & Affleck-Graves, J Underperformance in Long-Run Stock Returns Following Seasoned Equity Offerings, Journal of Financial Economics 38: Verrecchia, R.E Discretionary Disclosure, Journal of Accounting and Economics 5: Verrecchia, R.E Essays on Disclosure, Journal of Accounting and Economics 32: Womack, K.L Do Brokerage Analysts Recommendations Have Investment Value? Journal of Finance 51: World Bank, Template for Country Assessment of Corporate Governance p /Yeh, Y.H, Ko, C. & Su, Y.H Ultimate Control and Expropriation of Minority Shareholders: New Evidence from Taiwan, Academia Economic Papers 31: ?

43 A 2 EXCEL A1.2 A1.2 A A1.1 5% 20% % 90% 5% 70% 10% 42 A % % 20% 42 37

44 ST % %

45 ST % % 1%

46 % ( ) ( ) ( ) 40

47 MACMINLAY 1997 MCWILLIAMS & SIEGEL 1997 JOURNAL OF ECONOMIC LITERATURE ACADEMY OF MANAGEMENT JOURNAL BALL & BROWN 1968 FAMA 1969 ( ( ] ] 0 ( ] T0 T1 T2 T3 τ R E iτ * i i mτ* iτ* ( εi τ * ) = 0 ( εi τ* ) = ( T T ] var = α + β R + ε τ*, 0 1 Ri τ * Rm τ * σ 2 εi i τ * τ * ˆ β = i τ T1 * = T0 + 1 τ ( R µ )( R µ ) T1 iτ* i mτ* m * = T0 + 1 α = µ ˆ β µ ˆi i i m T1 1 µ i = L 1 τ * = T0 + 1 R ( R µ ) iτ * mτ * m 2 T1 1 µ m = L 1 τ * = T0 + 1 R ( R ˆ i * i irm *) T1 2 1 = ˆ ε i L1 k τ τ τ * = T0 + 1 mτ * σ α β 2 k i τ τ T, T ( ]

48 ( ) = ˆ α + ˆ E R β R iτ i i mτ i τ ( ) AR = R E R σ iτ iτ iτ ( ) E AR iτ ( AR ) 2 2 iτ εi = 0 1 = σ L1 AR τ τ ( R µ ) 2 mτ σ i m 2 m ( ) 2 L 1 H : 0, 0 ARi τ : N σ ε AR i iτ 0 CAMPBELL ANDREW & MACKINLAY 1997 [ 30, + 30] 120 [ ] i τ, τ τ, τ T, T 1 2 [ ] ( ] CAR i ( τ, τ ) 1 2 τ 2 = τ= τ1 AR iτ (, ) = ( + 1) σ τ τ τ τ σ 2 2 i ε i i (, ) CAR τ τ 1 2 [ ] i τ, τ 2 σ ( τ, τ ) CAR ( τ, τ ) i 1 2 i AR τ [ τ, τ ] i 1 2 [ ] τ, τ 1 2 CAAR N = 1 ( τ, τ ) CAR ( τ, τ ) 1 2 i 1 2 N i= 1 σ τ τ 1 σ τ τ 1 τ τ σ ε N n ( 1, 2) = 2 i ( 1, 2) = 2 ( ) i N i= 1 N i (, ) CAAR τ τ 1 2 [ τ, τ ] σ 2 ( τ, τ ) CAAR( τ, τ ) i ( ), CAR τ τ i

49 (, ) CAAR τ τ 1 2 µ µ 0 T = ~ t n 1 S n 1 n ( ) µ µ 0 0 U U = ~ N( 0,1) t σ n ( ) CAAR( τ, τ ) 1 2 U µ µ ( τ τ ) ( τ τ ) CAAR, 0 CAAR, N N = = = n n ( 1, 2) N σ στ τ τ τ σ ( ) i 2 εi ( ) ~ N 0,1 T µ µ ( τ τ ) ( τ τ ) CAAR, 0 CAAR, N N 1 ~ 1 ( ) = = = t N n Sn ( n 1 ) στ ( ) ( ) 2 1, τ2 N 1 ( τ1 τ2 + 1) σεi i BHAR BHAR, BHAR τ, τ BHAR ( τ τ ) ( ) i τ ( τ1, τ2) = [ 1+ τ] 1+ ( τ ) BHAR R E R BHAR i i i t= τ1 t= τ1 N = 1 ( τ, τ ) BHAR ( τ, τ ) i 1 2 i 1 2 N i= 1 (, ) BHAR τ τ 1 2 (, ) BHAR τ τ 1 2 τ [ ] i τ, τ BUY-AND-HOLD 1 2 [ τ, τ ] 1 2 WIND R it prc it, prcit, 1 = 100% prc it, 1 Rit i t prcit, i t 10% 43

50 A CAR[-30,+5] Q CAR[-30,+5] Q N 1.60 A 1.50 B 1.40 A a B b c % % E CU CL D a [ ] 01NOV 01,30NOV 02 b [ ] 01DEC02,30JUN 03 c [ ] 01JAN01, 30JUN 03 2 CAR[-30,+5] Q CL D ST A D D E E ST A A

51 CAR[-30,+5] Q / ST N A ST CU B D A ST B ST A / / A E CL N D N CU B ST CL / TCL ST N N CU ST D ST A ST A ST ST N N ST A ST

52 CAR[-30,+5] Q CL ST CL CL ST ST PT CL N B D N ST N N ST D N ST D E A A ST CU B ST D CU B CL A B B D B A

53 CAR[-30,+5] Q N B CL ST N ST B A E N ST ST N D A ST E N D ST N D N E A ST A N E E / / / E / N ST A

54 A4 [-60,+30] CAAR BHAR NABE CD / [ 01JAN01,30JUN03] BHAR _ CD /28 BHAR _ NABE / A4C NABE CD [ 01JAN01,30NOV02] BHAR _ CD /24 BHAR _ NABE / A4D [01JAN01,30NOV02] NABE CD -5-5 [ 01JAN01,30JUN03] CAAR_NABE/ CAAR_CD/28 46A NABE CD CAAR [ 01JAN01,30NOV02] CAAR_NABE/ CAAR_CD/ B [01JAN01,30NOV02] NABE CD CAAR

55 A4 T CAAR[ ] CAAR %60,t t 60, + 30 NABE CD CAAR DIF =CAAR NABE CAAR CD *** / ** / * T [ ] [ ] p 1% / p 5% / p 10% L, L t 45 [ 01Jan01,30Jun 03] [ 01Jan01,30Nov 02] T CAAR CD CAAR NABE CAAR DIF CAAR CD CAAR NABE CAAR DIF *** *** *** *** *** *** ** *** ** *** *** * *** ** ** * *** *** *** ** ** ** * * ** * *** ** *** ** *** *** ** * * *** * * * ** * ** *** * *** ** * *** *** *** ** *** ** *** ** *** *** *** *** ** *** *** *** *** * *** *** ** *** *** *** *** *** *** * *** *** * *** *** *** *** *** *** *** *** ** *** *** *** **

56 [ 01Jan01,30Jun 03] [ 01Jan01,30Nov 02] T CAAR CD CAAR NABE CAAR DIF CAAR CD CAAR NABE CAAR DIF *** *** *** *** *** *** *** ** *** *** *** ** *** *** *** *** *** *** *** *** *** *** *** *** ** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** * *** * *** *** *** *** *** *** *** ** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** ** *** *** *** ** *** *** *** * *** ** *** *** ** *** * *** *** *** ** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** ** *** *** *** ** *** *** *** ** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** *** ** *** *** *** ** *** *** *** ** *** *** *** * *** *** *** **

57 A4 CAAR BHAR 0 SAMPLE SELECTION BIAS [01JAN01,30JUN03] CAAR_CD CAAR_NABE A4 CAAR_CD CAAR_CD CAAR_CD 1 2 / CAAR_NABE/ CAAR_CD/ A4-1 [-265,-66] [-65,+30] CAAR CAAR_NABE/ CAAR_CD/ A4-2 [-270,-71] [-70,+30] CAAR 51

58 1 2 PERSON 3 1 T-1 T-2 CAR? A A5.1 CAR_30_5 CAR [-30,+5] CAR

59 DISC CAR_60_31 EPS SIZE LEV CFLOW CRESV DUMPRD CAR [-60,-31] CAR T-1 T-1/ T T-1 T-1? T-1 T-1/ T-1 T-1/ T-1 T-1/ T B_TYPE T_TYPE GROWTH T-1 ( rev rev ) abs ( rev ) T 1 T 2 T rev abs ( rev) Q Tobin Q T-1 12 hk hk chn chn ( prct 1, ξ mst 1, ξ prct 1, ξ mst 1, ξ) ξ = 1 12 asset T 1 + eq ums T 1 T 1?

60 PREMIUM prc ξ ms ξ prc ξ chn chn hk hk o, o, o, o, ms ξ eq ums B ξ A ξ ( prc eq ) abs( eq ) T 1 T 1 eq ( ) abs eq prc H_DIF stk aft aft 100 pre pre n stkn stkn stkn n= 1 n= 1 n= 1 n= 1 pre stkn stk aft n n { 1, 2, 3} n PEARSON RHO=0 PROB> R A5.2 54

61 A5.2 CAR_30_5 DISC CAR_60_31 EPS SIZE LEV CFLOW CRSEV H_DIF Q PREMIUM GROWTH DUMPRD B_TYPE DISC CAR_60_ EPS SIZE LEV < CFLOW CRSEV < H_DIF Q < PREMIUM < < GROWTH DUMPRD B_TYPE T_TYPE

62 3 A5.3 A SAS 5 F A F *** / ** / * 1% p / p 5% / p 10% INTERCEPT / SSEP CP = 2 ( N 2* P) s 2 14 s SSEP P OBS. A5.3-1 INTERCEPT CAR_30_5 STEP1 STEP2 STEP3 STEP4 STEP ** ** ** (0.1375) (0.1994) (0.018) (0.0268) (0.0228) CAR_60_ *** ** *** ** *** (0.0076) (0.0105) (0.0085) (0.0139) (0.0082) Q ** ** *** *** LEV SIZE DISC (0.0219) (0.0176) (0.0025) (0.0036) ** ** *** (0.0413) (0.0193) (0.0092) * * (0.0554) (0.0700) * (0.0907) R CP F PR>F OBS A5.3-2 R 2 R 2 CP F PR>F 1 CAR_60_ Q LEV SIZE DISC

63 A5.4 DISC A5.3 DISC 10% A DISC SAS 5 F A F *** / ** / * 1% p / p 5% / p 10% INTERCEPT / SSEP CP = 2 ( N 2* P) s 2 14 s SSEP P OBS. A5.4-1 DISC INTERCEPT DISC CAR_30_5 STEP0 STEP1 STEP2 STEP3 STEP ** *** ** (0.8010) (0.5964) (0.0362) (0.0033) (0.0228) * * * (0.2729) (0.1603) (0.0659) (0.0787) (0.0907) CAR_60_ *** *** *** *** LEV (0.0051) (0.0033) (0.0048) (0.0082) ** ** *** (0.0231) (0.0188) (0.0092) Q ** *** SIZE (0.0211) (0.0036) * (0.0700) R CP F PR>F OBS A5.4-2 DISC R 2 R 2 CP F PR>F 1 CAR_60_ LEV Q SIZE

64 A5.5 INTERCEPT CAR CAR_60_31 DISC LEV TOBIN Q Q SIZE GROWTH PREMOUM DUMPRD 5 T 1 2~ 5 5 T *** / ** / * 1% p / p 5% / p 10% INTERCEPT / OBS. 1 T PREMIUM GROWTH DUMPRD H_DIF INTERCEPT DISC CAR_30_5 MODEL1 MODEL2 MODEL3 MODEL4 MODEL ** ** ** ** ** (0.0228) (0.0231) (0.0238) (0.0252) (0.0236) * * * * * (0.0907) (0.0952) (0.0962) (0.0970) (0.0981) CAR_60_ *** *** *** *** *** LEV (0.0082) (0.0087) (0.0086) (0.0092) (0.0099) *** ** *** ** *** (0.0092) (0.0351) (0.0097) (0.0112) (0.0096) Q *** *** *** *** *** SIZE PREMIUM GROWTH DUMPRD H_DIF (0.0036) (0.004) (0.0039) (0.0059) (0.0038) * * * * * (0.0700) (0.0700) (0.0720) (0.0748) (0.0733) (0.8306) (0.9173) (0.9971) (0.8442) R R 2 ADJ F PR>F OBS

C02.doc

C02.doc ST * * * # 1998 2000 ST ST ST ST Key Words: Listed Companies, Special Treatments, Announcement Effects 1998 3 16,,,Special Treatment,ST 2000 12 ST 81 27 1999 2000 ST ST ST 1 Distress Financial DistressPerformance