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 Decline or Operating Distress Emery et al,1998 bankruptcy in default failed insolvency Altman1977Wruck1991Gilson1997 Andrade Kaplan1997 Opler Titman1994 * ** #
-30% Deangelo1990Clark Ofek1994 Ofek1993Dennis Kruse2000 Kang et al 1997 Aksu1997 Altman1971 Clark Weinstein1983 Lang1992 2000 ST ST 2 1ST,, 2 Jensen and Meckling,1976, 3 Opler and Titman,1994 ST 4 Sudip Datta ST 5ST 1998 1999 2000 6 ST ST
ST 1 200 ST 41 240-40 +40 ST 40 ST 40-20 +20-1 +1 1 1 A 2ST 40 3 ST 1998 2000 A ST 81 9 72 2 ST Taiwan Economic Journal 1 Pameia P.Peterson1989 2 1 1ST % 1998 23 31.94% 1999 29 40.28% 2000 20 27.78% 2 2.78% 34 47.22% 2 2.78% 2 2.78% 6 8.33% 6 8.33% 4 5.56% 4 5.56% 12 16.67% 31 43.06% 41 56.94% 1 ST ST 2 Pameia P.Peterson1989
3 1 47.22% 16.67%8.33%4 5.56%2 2.78% 131 43%41 57% IPO 121 18 15 1993 1996 1994 75%1993 1996 1994 36.59%, 1993 1996 18.26%10.47% 2 19.18%9.59%9.59%8.22%5 6.85% 4 5.48% 25 34.25% 1998 31.58%22.22% 5.93% 2 ST % 1998 ST 14 19.44% 63 22.22% 7 9.72% 118 5.93% 7 9.72% 53 13.20% 6 8.33% 19 31.58% 5 6.94% 47 10.64% 4 5.56% 34 11.76% 4 5.56% 49 8.16% 25 34.72% 3 72 58 72%,20 28% 27 16 9 39%21%13% 4 7 8 1 6%10%11 1% 2 4 85527 58069 1997 1998 130700 144254 ST 3 2001
36%38%1997 1998 34.59% 33.93%0.64 0.65 2000ST 0.58 0.60 ST 0.495 1998 0.47 4.9 5 3-6 1993 1996 3 ST % 28 38.89% 15 20.83% 9 12.50% 52 72.22% 4 5.56% 7 9.72% 8 11.11% 1 1.39% 20 27.78% 4 6397 376261 85527 58069 0.05 0.73 0.36 0.38 1 9 4.9 5 0.08 1.12 0.64 0.65 / 0.43 7.32 2.25 2.01 ST TEJ Event Study Brown and Warner1980 1985 Pamela P. Peterson 1989-240 -41 R α + β R + ε = j j mt Rmtt jj
AR = ε = R Dodd-Warner1983 R S S = (1 + 1 S j T j SAR = AR / S T j 2 + ( Rmt Rm ) / ( Rmt t= 1 2 Rm ) ) Sj=j 4 Tj= Rmt=t Rm= ARNt AR 1 = Nt AR N j= 1 t t j j N -10-1+1-10 +10-40+40CARNn,, N 1? ST 5 ST -1,+1-5,+5-10,+10-20+20-40+40 2000 ST 40 1,ST 4 2 2.1 6 2000-40+40 1998 1999-40+40-1+1-5+5-10 +10-20+201998 2000 4 Sj S
5ST ST AAR% t- % -40 0.62 1.74 52-20 0.03 0.16 57-10 -0.22-0.41 42-5 -0.34-1.01 43-4 -0.26-0.59 37-3 -1.20-4.04 33-2 -1.44-4.34 29-1 -1.17-3.60 30 0-2.15-6.97 29 +1-1.60-4.70 29 +2-1.88-5.77 29 +3-0.66-1.77 42 +4-0.39-0.45 46 +5-0.70-1.78 42 +10 0.33 1.03 56 +20-0.44-1.98 48 +40 0.31 0.54 60-1,+1-4.92-8.81 21-5,+5-11.85-10.56 26-10,+10-12.7-7.85 29-20,+20-17.8-8.28 30-40,+40-18.5-6.02 32 AR 1998 2000 A 6ST 1998-2000 AAR % CAR-1+1CAR-5+5 CAR CAR-20 CAR-40-10,10 +20 +40 1998 23-2.24 730-6.2-17.9-16.00-14.7-8.79 1999 29-0.81 1138-3.72-9.73-12.24-30.70-47.94 2000 20-3.86 315-4.95-7.72-8.18-3.16 12.20 31-2.51 1032-5.40-12.45-13.73-15.32-15.65 41-1.87 1127-4.55-11.29-11.89-19.60-20.68 34-3.11 721-5.62-14.26-15.17-17.54-20.89 6-5.88 00-8.57-13.05-12.69-14.98-8.29 6-2.88 117-5.87-5.13-5.67-4.14 6.88 4-1.21 250-8.06-18.19-21.22-30.36-31.42 12-1.01 542-1.66-6.43-9.00-10.42-3.48 52-1.93 1733-4.77-10.70-12.75-17.50-19.34 20-2.70 420-5.30-14.62-12.69-18.42-16.53 :AAR ; ;CAR-1,+11 3 ;,
2.2 ST 2.3 5 6-40+40-40+40 5 ST 2.4 ST 6 4 3 7 2 5 10% 1 3 ST 1+6 4t -1.4410% 20% 4 5 4 6
7 ST 1998-2000 1 2 3 4 5 6-39.511 (-1.622) 5.071 (1.322) -7.654 (-1.441) / 1.542 (1.387) -13.535 (-0.833) 1.407 (0.506) 1.268 (0.208) -8.204 * (-1.722) -11.764 (-0.694) 1.568 (0.539) 0.046 (0.007) -11.749 ** (-2.343) -4.689 (-0.276) 0.526 (0.185) -6.965 (-1.033) -10.160 * (-2.112) -49.243 (-1.905) 6.415 (1.608) 0.191 (0.028) -8.692 ** (-1.644) 2.094 ** (1.821) -2.236 (-0.129) 0.690 (0.246) -4.880 (-0.742) -9.744 * (-2.033) ST1998-1.790 * (-3.025) ST1999 5.384 * (2.029) ST2000 2.849 (1.153) 7.505 * (2.529) -3.960 (-1.288) -3.190 (-1.040) -2.112 (-0.481) -0.900 (-0.207) 7.618 ** (1.686) 4.522 (0.969) -6.301 (-1.244) -4.112 (-0.805) 4.283 (1.181) 4.118 (1.101) -5.285 * (-2.249) -3.468 (-1.334) IPO1993 1.041 (0.408) IPO1996 5.612 * (2.023) IPO1997-4.707 (-0.846) F 2.002 4.466 2.319 2.504 1.659 2.762 R 2 0.041 0.196 0.069 0.145 0.061 0.244-5,+5 ST1998 ST2000 IPO IPO1993IPO1996 IPO1997 ; ST 1+ **5% *10% 1998 1999 2000 2 2 1998 5% 2000 ST
ST 6 1999 2000 5 ST ST 3 5% 62.4 ST 1993 1996 1997 1993 1996 1996 5% 1997 20001997 1994 1995 1997 7 ST 4 ST 4 2.3 ST 5 8 ST ST 1998 2000 ST ST ST 7 1998 1997 8 4
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Public Debt Offerings, Journal of Finance; ST 1999.5.13 2000 3 ST 2000 6 ST 2001 1 The Information Content and Determinant Factors on the Market Reaction to the Special Treatment Announcements of the Chinese Listed Companies