Methodology公司治理研究方法.ppt

Topic 5 Research Methodology Event Study Event study is an empirical financial research that measures the impact of a specific event on the value of a firm by using financial market data Reaction of Stock Price to New Information Efficient market reaction: The price instantaneously adjusts to and fully reflects new information; there is no tendency for subsequent increases and decreases. Price ($) Days relativeto announcement day (Day 0) 220 180 140 100 Overreaction andcorrection Delayed reaction Efficient market reaction –8 –6 –4 –2 0 +2 +4 +6 +8 Overreaction: The price overly adjusts to the new information; it “overshoots” the new price and subsequently corrects. Delayed reaction: The price partially adjusts to the new information; 8 days elapse before the price completely reflects the new information. Event Studies by Year in Top Four Financial Journals: 1988-2000 Year Journal of Journal of Journal of Review of Total Finance Financial Financial and Financial Economics Quant. Analysis Studies 1988 4 7 5 1 17 1989 11 11 1 1 24 1990 17 7 6 2 32 1991 17 2 4 1 24 1992 13 9 4 1 27 1993 7 5 5 3 20 1994 10 10 5 25 1995 8 14 11 2 35 1996 7 10 5 3 25 1997 8 12 3 23 1998 14 11 3 28 1999 7 12 1 4 24 2000 15 13 5 2 35 Totals 138 123 58 20 339 Classic Literature on Event Study James Dolley “Characteristics and Procedure of Common Stock Split-Ups,” Harvard Business Review, April 1933, 11, p.316-326 Fama, E., Fisher, L., Jensen, M., and Roll, R. “The Adjustment of Stock Prices to New Information,” International Economic Review, 1969, 10, p.1-21 MacKinlay, C., “Event Studies in Economics and Finance”, Journal of Economic Perspectives, 1997, 35 (1), p.13-39. Event Definition Selection Criteria Expected and Abnormal Return Measurement Es