RESEARCH REPORT
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2
3
4
5
1
2
3
Selection Criteria Effect Hypothesis 4
5
3 180 180 2002-12-18 2003-01-02 10 18 18 2003-06-13 2003-07-01 12 18 18 2003-12-16 2004-01-02 12 18 18 2004-06-15 2004-07-01 12 18 2004-12-14 2005-01-4 13 18 18 90 90 6
2003 1 2 5 11 4 100 2003-5-19 2003-5-26 5 9 9 100 2003-11-8 2003-11-24 10 7 7 2004-5-14 2004-5-24 6 10 10 2004-11-5 2004-11-22 11 7 7 33 33 7
Rˆ it = α + β R i i mt Rˆ it i t R mt t ( α, β ) AR it = R Rˆ it it AR it i t R it i t Rˆ it 1 BHAR Buy-and-Hold Abnormal Returns BHAR i T ( = 2 2 T1, T2) (1 + Rit ) t= T t= T 1 T [1 + E( R )] 1 BHAR CAR GILSON & BLACK1995 8 it
AAR = 1 N t AR i N i= 1 AARt N CAR T = 2 i AR it t= T 1 T1 T 2 CAR i ( T 1, T2 ) i T 1 T 2 CAAR i ( T 1, T2 ) 1 CAAR T, N 1 N CARi ( T1, T2 ) i= 1 ( T2 ) = AR it = R R it mt Rmt AR it i t R it i t t MVR MVR = 1 N t VR it N i= 1 t VR it V V it i = mt / V / V m Vit t i V i V it V mt t V m V mt VR it 9
t i VR T T AAR CAAR MVR t t t it 10
11
(%) AARin AARout (%) CAARin CAARout AD+0 MVRin MVRout 12
13
CAR ( 1, t) i = AR(0) i CAR ( 1, t) i i t AR ( 0) i i 14
CAR( 0, t) = a + bcar( t + 1, T ) + ε i CAR ( 0, t) i i t CAR ( t + 1, T ) i i y x a b i i -0.20 CAR(0,7) i CAR(8,14) i AD7-1.16 (-1.696) -0.206 CAR(0,3) i CAR(4,6) i AD3-0.922 (-1.192) -0.327 CAR(0,18) i CAR(19,25) i AD18-1.723 (-3.367) 15
16
AAR CAAR MVR AAR CAAR MVR 17
180 18
19
AAR CAAR MVR AAR CAAR MVR 20
AARin AARout CAARin CAARout RD+0 MVRin MVRout 21
22
y x a b CAR(-30,-1) i CAR(0,25) i AD0 0.942 CAR(-30,-1) i CAR(0,25) i AD0-6.447-0.394-1.332-0.779-2.679 23
100 24
100 1 100 25
26
27
28
29
30
31
32
1997 1999 180 33
180 100 1 2 6008392004 3 10 50 609 488.5 180 249.9 180 147.2 34
100 100 A A STPT 21 100 100 100 2002 12 31 1000 5 11 100 180 30 180 35
180 180 A A 180 180 7% 10% 35% 40% 40% 16 180 % % >80 20 30 40 50 60 70 80 100 36
180 10% 180 1996 5 27 88 95% 95% 88 88 5% 1993 12 31 100 37
A 300 50 300 A300 30050 300 50 50 38
A A 50 2004 2 27 1000 300 1999 12 30 1000 6 12 10 10 IPO 5 10 39
A 200 A 400 A 200 A 600 A 200 A 400 20% 50% 50% 100% 60% 75% 75% A A 1% 1% A A A A 200 A 40
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