Critical Finance Review, 2017(Forthcoming)

公司事件后的长期股票收益

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，利用规模和账面市值相匹配的对照股票计算的BHAR方法检测到的重要公司事件后出现的长期异常收益可以通过事件股票和对照股票之间的非系统性与系统特性的差异解释。我们发现，他们的研究结果主要是由公司特征标准化造成的，其目的是使估计的回归系数可比。不幸的是，他们的标准化过程意味着增量非线性且使回归相关性变得随机。这些效应将影响斜率系数，潜在地使alpha出现偏差，并使其标准误差大幅增加，这使得虽然alpha的估计值在经济上很大，却是不显著的。重温他们的回归分析表明，虽然事件公司及其对照公司在各种特征方面有所不同，但这些差异一般不消除用alpha衡量的异常收益。

关键词：异常收益，长期事件研究，特征标准化，兼并收购，首次公开发行，再融资，股利发放

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

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

翻译：任兆月