C
1... 3 2... 5 2.1... 5 2.2... 7 3... 8 3.1... 8 3.2... 9 3.3... 14 3.4... 15 4... 16... 18 1
2001 2002 2002 2
1 3
20 30 1968 Ball Brown 261 1957-1965 12 6 Abnormal Performance Index Brown 1970 Firth 1981 Forsgardh and Hertzen 1975 Knight 1983 Dickinson Muragu [1994] Barnes [1986] Attila Odabasi[1998] Aasmund Eilifsen [1998] [1998] Ball Brown 1996 [1998] [2000] 1998 [2002] 1995-1999 [2001] 4
2 2.1 Dyckman, Philbrick Stephan(1984) Brown 5
Warner(1985) Chandra, Moriarty Willinger[1990] 2001 i j (abnormal return)arij AR ij=r ij-m j 1 40 j [-40 40] 0 0 2 R ij i j 3 M j j 4 [-40 40] 5 CAR cumulative abnormal return i j CARij = J j= 40 ARij j AARj average abnormal 6
return 1 AARj = N N i= 1 ARij j CARj = J j= 40 AARj 2.2 AR CAR AR AR CAR AR CAR AR AR t AR t CAR AR T AR t = n 1 AR s / n t t t n-1 n-1 t AR t 7
s t AR CAR t q1, q2 = CAR q1, q2 2 1 q N t = q1 s 2 CARq1,q2 q1 q2 s AR CAR t 3 3.1 50% 1 2001 2001 2002 2002 2002 2002 8
1 2001 2002 2002 85 62 127 #B 3 2 0 # 2 3 4 # 7 8 13 # 5 6 12 68 43 98 2001 2002 2002 68 43 98 3.2 3.2.1 2001 2001 50% 1 CAR 16 1 1 2 10 9
10 3 40 CAR [-3 0] 1 2001 15% 10% 5% 0% -5% -10% CAR -40-36 -32-28 -24-20 -16-12 -8-4 0 4 8 12 16 20 24 28 32 36 40 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% -15% 0.0% 3.2.2 2002 2002 2001 2 2002 CAR 24 CAR0 7.55% CARt 24 T 10
1 [-30 30] 3-4 1 2002 CAR 2001 2 2002 25% 20% 15% 10% 5% 0% 3.5% CAR 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -40-36 -32-28 -24-20 -16-12 -8-4 0 4 8 12 16 20 24 28 32 36 40 2002 2001 1 2001 2002 1-2 2001 2 2002 1 11
2002 3.2.3 2002 3 2002 CAR 3 CAR [-40-10] [-9 0] [-2 2] CAR 3 2002 16% 14% 12% 10% 8% 6% 4% 2% 0% 2.5% 2.0% 1.5% 1.0% CAR 0.5% 0.0% -40-36 -32-28 -24-20 -16-12 -8-4 0 4 8 12 16 20 24 28 32 36 40 [-40 40] CAR 2001 2002 CAR 2002 1 2 [-40 40] 2001 12
13 2002 1 2 3 3.2.4 4 4 4-2% 0% 2% 4% 6% 8% 10% 12% -40-36 -32-28 -24-20 -16-12 -8-4 0 4 8 12 16 20 24 28 32 36 40 CAR 2002 2001 2002
3.3 AR t 2001 16 CARt 3 ARt 5% t 1.994 AR T 2002 ARt -40-38 5% t 2.018 2002 2002 2 ARt 5% t 1.984 5 12 10 8 5 AR t 2001 ARt 2002 ARt 2002 ARt 6 4 2 0-2 -4-40 -37-34 -31-28 -25-22 -19-16 -13-10 -7-4 -1 2 5 8 CAR t 40 20 t 11 14 17 20 23 26 29 32 35 38 14
10 CAR t 2001 2 CAR t 40 21 20 11 10 10 11 20 21 40 5% t 2001 2.27*** 0.54 5.57*** -0.32-0.25 1.994 2002 3.57*** 1.54* 0.18 0.26-1.31* 1.984 2002 2.16*** 1.71** 0.86 0.07-0.17 2.018 *** 5% ** 10% * 20% 3.4 1 [-3 3] 2 15
3 4 5 4 A 16
[ 2002] 17
[1] Ball and Brown, An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research,1968 [2]Attila Odabasi, Security Returns Reactions to Earnings Announcements: a Case Study on the Istanbul Stock Exchange [3]Sankaran Venkateswar, the Adjustment of Stock Returns to Earnings Announcements in the Bombay Stock Exchange [4]Elmar Mertens,Getting Even Contrarians Investment and Event Return on Earning [5]Aasmund Eilifsen, Earnings Announcements and the Variability of Stock Returns [6] 2000 5 [7] A 1999 6 [8] 1998 7 18