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2001 2004 IPO IPO Barov&Bodnar 1996
1
3 GAAP Dye(1993) nformaon role nsurance role Sewardshp/monorng Hypohess Informaon Hypohess Insurance Hypohess Was&Zmmerman,1986
1 2 mprovng decson 3) earnng of radng Demsez,1976;Epps,1976;Copeland and Gala,1983; Glosen & Mlgrom,1985;Damond & Verreccha,1991 Damond & Verreccha 1991
Damond&Verreccha 1991 DeAngelo,1981 IPO Tman&Trueman(1986) Daar, Felham&Hughe(1991) preparaon cos propreary cos Damond & Verreccha 1991 Barov&Bodnar 1996 IPO
IPOs (Beay&Rer,1986 Tman&Trueman.,1986 Beay,1989 Menon& Wllams,1991 Felhom e al., 1991 Holland&Horon,1993 Frh&Smh,1992 Jan&Ln,1993 Mchaely&Shaw,1995 ) Dye,1993 Amhud&Mendelson(AM)(1986) Damond&Verreccha(DV)(1991) AM(1986) DV(1991) Klen&Bawa(1976),Barry&Brown(1985), Coles&Loewensen (1988), Handa&Lnn (1993), Coles(1995), Clarkson(1996) 2004 1999 7 1 2002 12 31 A 312 IPO IPO
IPOs IPOs 2004 2002 516 IPOs CAPM, Easley,2001 2005 1993 2001 T T+1 T+1 C ~ C q 0 q 1 ~ = q C q 0 1 q 1 T+1 F ~
~ ~ ~ F = C u~ = q C (1 q ) u ~ 1 u ~ 0 ~ σ Cov( u~, ) < 0 u ~ u R m u = ( 1 q ) u ~ 1 CAPM T ~ ~ E( F ~ ) q E( C) E( F ~ ) Cov( F ~, Rm ) V = = = 1+ R 1+ R (1 + R f ) ~ ~ ~ ~ q E( C) qcov( C, Rm ) + (1 q ) Cov( u ~, Rm ) = 1+ R f 2 R R R f m 2 R q R q ~ ~ ( ~ 2 (1 + R f ) E( C) Cov u, Rm ) / q = ~ ~ ~ ~ [ E( C) Cov( C, R ) + (1/ q 1) Cov( u ~, R m m )] 2 < 0 3 2005 2005 2005
CSMAR 2001-2004 A 2001 2000 1% A 1926 1 urnover bd ask 1) 2) 3) Morse & Ushman 1983 Lee (1993
Beaver,1968;Bamber,1987 2 5 Turnover = α + α σ ( ) + ε 0 1 EPS 2 ex pos CAPM APT Fama French 1997 ex ane E/P Ohlson 1995 Dscouned Resdual Income Model Boosan 1997 Gebhard Lee&Swamnahan 2001 GLS 2004 GLS 2005 GLS GLS Ohlson 1995 GLS R 4 E ( ROE r) B + + 1 P = B + 4 = 1 (1 + r) P B E (.) ROE + + 4 FROE r FROE r FROE r P = B + B + 11 5 3 11 + + + 12 n B + 1 + B + 1 1 + 12 = 1 (1 + r) = 4 (1 + r) r(1 + r) FROE GLS 12 2 Barov&Bodnar 1996
12 3 ROE ROE ROE 12 ROE B clean surplus B B + FROE B (1 pou ) pou + = + 1 + + 1 5 prob IMR nverse mlls rao Lamda 6 prob 7 Audor n= 1 + α Geo + 12 6 α 10+ + n = α + α Sze 0 + α Rme 7 1 ndusry n + α Lev + α Roa + α Issue + + α Re d + α Owner + α Squown + α year 6 + ε 8 2 9 3 4 10 + α lloss 5 3 = 1 10+ Cos α Lamda 6 = α + α Audor 0 + 3 1 n= 1 α 6+ n year + α bea 12 m= 1 2 α 9+ m + α oprsk 3 ndusy + ε + α sze 4 + α growh 5 + 7 1 Audor bg4 2001 naonal op10 naonal 1 0 2001 2004 op10 1 0 Cos 5 2 6 Sze Lev
Issue 1 0 lloss 1 0 Roa Rme Owner Squown Geo 1, 0 7 bea oprsk growh sze ;lamda 1 1 2001 2004 1.34 0.944 2 Pearson bea oprsk bea 3 bg4 naonal op10 1 5 1
Lamda 1 5 5 prob Lamda OLS 3 IPO 3 VIF 4.0 VIF 3.5 F 0.001 R 2 0.571 0.581 0.584 Whe 3 1. 1 2. Lev Lev 4
Barov&Bodnar 1996 2005 2001 2004 IPO 2005 2 2005 2004 2004 8 2005 6 2004 7 2005 2005 Amhud, Y., and H. Mendelson, 1986, Asse prcng and he bd-ask spread, Journal of Fnancal
Economcs 17: 223-249. Baber,W.R.;K.R.Kumar,and T. Verghese,1995, Clen secury prce reacons o he Lavenhol and Horwah bankrupcy, Journal of Accounng Research: 385-395. Bamber, L. S., 1987, Unexpeced earnngs, frm sze and radng volume around quarerly earnngs announcemens, The Accounng Revew 62: 510-532. Barry, C., and S. Brown, 1985, Dfferenal nformaon and secury marke equlbrum, Journal of Fnancal and Quanave Analyss(December): 407-422. Beay, R. and J. Rer, 1986, Invesmen Bankng, Repuaon and he Underprcng of Inal Publc Offerngs:, Journal of Fnancal Economcs (Oc.), 213-232. Beay, R.,1989, Audor repuaon and he prcng of Inal Publc Offerngs, The Accounng Revew (Oc.): 693-709. Beaver, W. H., 1968, The nformaon conen of annual earnngs announcemens, Journal of Accounng Research 6 (Supplemen): 67-92. Chrsne A. Boson, 1997, Dsclosure Level and he Cos of Equy Capal, The Accounng Revew, July, 323-349. Clarkson, P., J. Guedes, and R. Thompson, 1996, On he dversfcaon, observably, and measuremen of esmaon rsk, Journal of Fnancal and Quanave Analyss(March): 69-84. Coles. J., U. Loewensen, and J. Suay, 1995, On equlbrum prcng under parameer uncerany, Journal of Fnancal and Quanave Analyss(Sepember): 347-364. Copeland, T., and D.Gala, 1983, Informaon effecs on he bd-ask spread, The Journal of Fnance 36: 1457-1469. Daar,S.M., G.A. Felham, J.S.Hughes, 1991, The role auds and aud qualy n valung new ssues, Journal of Accounng and Economcs: 3-49 DeAngelo, L. E, 1981, Audor Sze and aud qualy, Journal of Accounng & Economcs3 (December): 183-199. Demsez, H., 1968, The cos of ransacng, Quarerly Journal of Economcs 82 (February): 33-53. Damond, D.W., and R.E. Verreccha,1991, Dsclosure, lqudy, and he cos of capal, The Journal of Fnance 46:1325-1360. Dye, R.A., 1993, Audng sandards, Legal lably and audor Wealh, Journal of Polcal
Economy (Ocober): 887-914. Easley, D. and M. O Hara, 2001, Informaon and he cos of capal, Conell Unversy workng paper. El Barov, Gordon M. Bodnar, 1996, Alernave Accounnng Mehod, Informaon Asymmery and Lqudy:Theory and Evdence, The Accounng Revew, Vol.71,No.3(July): 397-418. Fama, E., and K. French, 1997, Indusry coss of equy, Journal of Fnancal Economcs 43, 153-193. Felham, G., and J. Ohlson, 1995, Valuaon and clean surplus accounng for operang and fnancal acves, Conemporary Accounng Research(Sprng): 689-731. Felham, G.A., J.S. Hughes and D. Smunc, 1991, Emprcal assessmen of he mpac of audor qualy on he valuaon of new ssues, Journal of Accounng and Economcs 14: 375-399. Gebhard, W., C. Lee, and B. Swamnahan, 2001, Toward an mpled cos of capal, Journal of Accounng Research, Vol.39(June): 135-176. Handa, P., and S. Lnn,1993, Arbrage prcng wh esmaon rsk, Journal of Fnancal Ecomomcs (March): 81-100 Klen, R., and V. Bawa, 1976, The effec of esmaon rsk on opmal porfolo choce, Journal of Fnancal Economcs 3:215-231. Lee, C. M. C.,B. Mucklow, and M.J. Ready, 1993, Spreads, dephs, and he mpac of earnngs nformaon: an nraday analyss, Revew of Fnancal Sudes 6: 345-374. Menon, K., D.D.Wllams, 1994, The nsurance hypohess and marke prce, The Accounng Revew (Aprl): 327-342. Mchael Wllenborg, 1999, Emprcal analyss of he economc Demand for audng n he nal publc offerng marke, Journal of Accounng Research Vol. 37 No.1 Sprng:225-235. Morse, D., and N. Ushman, 1983, Effec of nformaon announcemens on he marke mcrosrucure, The Journal of Fnance 42: 483-510. Ron Mchaely and Wayne H. Shaw, 1995, Does he choce of Audor convey qualy n an Inal Publc Offerng, Fnancal Managemen (Wner): 15-30. Tman, S., and B. Trueman, 1986, Informaon qualy and he valuaon of new ssues, Journal of Accounng and Economcs (June): 159-172.
1 cos 1926 0.0134 0.0094 0.00089 0.1205 Bg4 1926 0.062 0.24 0 1 naonal 1926 0.242 0.429 0 1 Top10 1926 0.213 0.409 0 1 bea 1926 0.944 0.265-0.0033 1.743 oprsk 1926 0.366 0.194 0.00084 0.94 sze 1926 21.25 0.86 17.92 26.63 growh 1926 0.744 1.21-0.825 23.39 Lamda1 1926 2.097 0.518 0.028 4.82 Lamda2 1926 1.39 0.515 0.246 3.71 Lamda3 1926 1.478 0.46 0.31 3.35 2 Pearson cos Bg4 Naonal Top10 bea oprsk sze growh cos 1.00 Bg4-0.073 1.0 (0.002) ***
Naonal -0.026 1.00 (0.26) (0.00) *** Top10-0.064 1.00 (0.005) *** bea -0.03-0.026-0.082-0.059 1.00 (0.15) (0.26) (0.00) *** (0.01) *** oprsk 0.299 0.014-0.1-0.069-0.11 1.00 (0.00) *** (0.53) (0.00) *** (0.00) *** (0.00) *** sze 0.386 0.244 0.059 0.043-0.17 0.13 1.00 (0.00) *** (0.00) *** (0.01) *** (0.06) * (0.00) *** (0.00) *** growh 0.126-0.036 0.05 0.02-0.14-0.004 0.17 1.00 (0.00) *** (0.11) (0.05) ** (0.39) (0.00) *** (0.87) (0.00) *** Cos α Lamda 6 = α + α Audor 0 + 3 1 n= 1 α 6+ n year + α bea 12 m= 1 2 α 9+ m + α oprsk 3 ndusy + ε + α sze 4 + α growh 5 + 3 OLS OLS 2-sage OLS OLS Panel A Panel B Panel C Panel D Panel E Panel F consan? -0.081-0.081-0.081-0.045-0.047-0.048 (-12.8) *** (-12.1) *** (-13.1) *** (-6.58) *** (-6.75) *** (-6.72) *** Bg4-0.01-0.0024 (-2.62) *** (-3.26) *** naonal -0.0008-0.001 (-1.98) ** (-2.72) *** Top10-0.0013-0.0015 (-3.9) *** (-4.73) *** Bea 0.0023 0.002 0.002 0.0026 0.0022 0.0022 (4.60) *** (2.69) *** (3.63) *** (5.1) *** (3.98) *** (4.05) *** oprsk 0.0057 0.0055 0.0055 0.0057 0.0058 0.0059 (5.82) *** (5.37) *** (5.53) *** (5.82) *** (5.57) *** (5.85) *** sze 0.0042 0.0037 0.0037 0.0061 0.0037 0.0037 (12.1) *** (12.53) *** (12.6) *** (6.18) *** (11.88) *** (11.7) *** growh -1.12e-5-1.1e-5-1.1e-5-1.14e-5-1.1e-5-1.1e-5 (-7.45) *** (-7.51) *** (-7.61) *** (-7.38) *** (-7.50) *** (-7.55) *** Lamda? 0.0017 0.0007 0.0008 (3.54) *** (2.39) ** (2.41) **
year nd 1924 1806 1806 1925 1807 1807 F 110.9 *** 115.15 *** 111.86 *** 103.49 *** 105.3 *** 107.1 *** Adj.R 2 (%) 57.07 58.13 58.39 56.58 57.81 58.01 4 2-sage OLS OLS Panel A Panel B Panel C Panel D Panel E Panel F consan? -0.031-0.049-0.051-0.049-0.044-0.044 (-3.3) *** (-7.97) *** (-8.3) *** (-8.49) *** (-7.58) *** (-7.54) *** Bg4 0.0003 0.00005 (0.55) (0.1) naonal -0.0002-0.0007 (-0.63) (-2.01) ** Top10-0.0007-0.0012 (-1.65) * (-3.15) *** Bea -0.0013-0.001-0.001-0.0012-0.001-0.001 (-1.96) ** (-1.51) (-1.57) (-1.86) * (-1.56) (-1.59) oprsk 0.0043 0.0038 0.0034 0.0047 0.0042 0.004 (4.63) *** (3.77) *** (3.54) *** (4.88) *** (4.03) *** (3.89) *** sze 0.0031 0.0024 0.0025 0.0024 0.0022 0.0022 (7.92) *** (8.71) *** (9.13) *** (9.27) *** (8.32) *** (8.43) *** growh -7.3e-6-6.6e-6-6.4e-6-7.4e-6-6.7e-6-6.7e-6 (-3.11) *** (-2.79) *** (-2.79) *** (-3.09) *** (-2.83) *** (-2.92) *** Lamda? 0.0013 0.001 0.0015 (2.22) *** (3.32) *** (3.56) *** year nd 1923 1747 1747 1923 1747 1747 F 113.7 *** 105.76 *** 107.37 *** 113.7 *** 105.76 *** 107.37 *** Adj.R 2 (%) 53.81 50.97 51.29 53.81 50.97 51.29 3 OLS ( )
Panel A Panel B Panel C Panel D Panel E Panel F consan? -0.081-0.081-0.081-0.031-0.049-0.051 (-12.8) *** (-12.1) *** (-13.1) *** (-3.3) *** (-7.97) *** (-8.3) *** Bg4-0.01 0.0003 (-2.62) *** (0.55) naonal -0.0008-0.0002 (-1.98) ** (-0.63) Top10-0.0013-0.0007 (-3.9) *** (-1.65) * Bea 0.0023 0.002 0.002-0.0013-0.001-0.001 (4.60) *** (2.69) *** (3.63) *** (-1.96) ** (-1.51) (-1.57) oprsk 0.0057 0.0055 0.0055 0.0043 0.0038 0.0034 (5.82) *** (5.37) *** (5.53) *** (4.63) *** (3.77) *** (3.54) *** sze 0.0042 0.0037 0.0037 0.0031 0.0024 0.0025 (12.1) *** (12.53) *** (12.6) *** (7.92) *** (8.71) *** (9.13) *** growh -1.12e-5-1.1e-5-1.1e-5-7.3e-6-6.6e-6-6.4e-6 (-7.45) *** (-7.51) *** (-7.61) *** (-3.11) *** (-2.79) *** (-2.79) *** Lamda? 0.0017 0.0007 0.0008 0.0013 0.001 0.0015 (3.54) *** (2.39) ** (2.41) ** (2.22) *** (3.32) *** (3.56) *** year nd 1924 1806 1806 1923 1747 1747 F 110.9 *** 115.15 *** 111.86 *** 113.7 *** 105.76 *** 107.37 *** R 2 (%) 57.07 58.13 58.39 53.81 50.97 51.29 OLS Panel A Panel B Panel C Panel D Panel E Panel F consan? -0.045-0.047-0.048-0.049-0.044-0.044 (-6.58) *** (-6.75) *** (-6.72) *** (-8.49) *** (-7.58) *** (-7.54) *** Bg4-0.0024 0.00005 (-3.26) *** (0.1) naonal -0.001-0.0007 (-2.72) *** (-2.01) ** Top10-0.0015-0.0012 (-4.73) *** (-3.15) *** Bea 0.0026 0.0022 0.0022-0.0012-0.001-0.001 (5.1) *** (3.98) *** (4.05) *** (-1.86) * (-1.56) (-1.59) oprsk 0.0057 0.0058 0.0059 0.0047 0.0042 0.004
(5.82) *** (5.57) *** (5.85) *** (4.88) *** (4.03) *** (3.89) *** sze 0.0061 0.0037 0.0037 0.0024 0.0022 0.0022 (6.18) *** (11.88) *** (11.7) *** (9.27) *** (8.32) *** (8.43) *** growh -1.14e-5-1.1e-5-1.1e-5-7.4e-6-6.7e-6-6.7e-6 (-7.38) *** (-7.50) *** (-7.55) *** (-3.09) *** (-2.83) *** (-2.92) *** year nd 1925 1807 1807 1925 1747 1747 F 103.49 *** 105.3 *** 107.1 *** 110.8 *** 111.08 *** 110.48 *** R 2 (%) 56.58 57.81 58.01 53.51 50.76 50.9 1 cos 1926 0.0134 0.0094 0.00089 0.1205 Bg4 1926 0.062 0.24 0 1 naonal 1926 0.242 0.429 0 1 Top10 1926 0.213 0.409 0 1 bea 1926 0.944 0.265-0.0033 1.743 oprsk 1926 0.366 0.194 0.00084 0.94 sze 1926 21.25 0.86 17.92 26.63 growh 1926 0.744 1.21-0.825 23.39 Lamda1 1926 2.097 0.518 0.028 4.82 Lamda2 1926 1.39 0.515 0.246 3.71 Lamda3 1926 1.478 0.46 0.31 3.35 2 Pearson cos Bg4 Naonal Top10 bea oprsk sze growh cos 1.00 Bg4-0.073 1.0 (0.002) *** Naonal -0.026 1.00 (0.26) (0.00) *** Top10-0.064 1.00 (0.005) *** bea -0.03-0.026-0.082-0.059 1.00
(0.15) (0.26) (0.00) *** (0.01) *** oprsk 0.299 0.014-0.1-0.069-0.11 1.00 (0.00) *** (0.53) (0.00) *** (0.00) *** (0.00) *** sze 0.386 0.244 0.059 0.043-0.17 0.13 1.00 (0.00) *** (0.00) *** (0.01) *** (0.06) * (0.00) *** (0.00) *** growh 0.126-0.036 0.05 0.02-0.14-0.004 0.17 1.00 (0.00) *** (0.11) (0.05) ** (0.39) (0.00) *** (0.87) (0.00) ***