Critical Finance Review, 2017(Forthcoming)

公司事件後的長期股票收益

作者：James W. Kolari (Texas A&M University), Seppo Pynnonen (University of Vaasa), Ahmet M. Tuncez (Texas A&M University)

摘要：Bessembinder和Zhang（2013）表明，利用規模和賬面市值相匹配的對照股票計算的BHAR方法檢測到的重要公司事件後出現的長期異常收益可以通過事件股票和對照股票之間的非系統性與系統特性的差異解釋。我們發現，他們的研究結果主要是由公司特征标準化造成的，其目的是使估計的回歸系數可比。不幸的是，他們的标準化過程意味着增量非線性且使回歸相關性變得随機。這些效應将影響斜率系數，潛在地使alpha出現偏差，并使其标準誤差大幅增加，這使得雖然alpha的估計值在經濟上很大，卻是不顯著的。重溫他們的回歸分析表明，雖然事件公司及其對照公司在各種特征方面有所不同，但這些差異一般不消除用alpha衡量的異常收益。

關鍵詞：異常收益，長期事件研究，特征标準化，兼并收購，首次公開發行，再融資，股利發放

On long-run stock returns after corporate events

James W. Kolari (Texas A&M University), Seppo Pynnonen (University of Vaasa), Ahmet M. Tuncez (Texas A&M University)

ABSTRACT

Bessembinder and Zhang (2013) show that long-run abnormal returns after major corporate events detected by the BHAR method using size and book-to-market matched control stocks can be explained by differences between event and control stocks’ unsystematic and systematic characteristics. We find that their results are mainly driven by the normalization of firm characteristics, which was intended to make estimated regression coefficients comparable. Unfortunately, their normalization procedure implies incremental non-linearity and randomizes regression relations. These effects influence the slope coefficients, potentially bias alpha, and materially inflate its standard error, which causes even economically large alpha estimates to be insignificant. Revisiting their regression analyses shows that, even though the event firms and their controls differ in terms of various characteristics, these differences do not generally eliminate abnormal returns as measured by alphas.

Keywords: Abnormal return; Long-run event study; Characteristic normalization; Merger and acquisition; IPO; SEO; Dividend initiation

原文鍊接：http://cfr.ivo-welch.info/readers/2017/kolari-pynnonen-tuncez-2017.pdf

翻譯：任兆月