Critical Finance Review, Volume 8, 2019

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（Adrian College）

摘要：Bessembinder和Zhang（2013）的研究表明，采用BHAR方法（采用规模和账面市值比来匹配控制股票）计算的公司重大事件后的长期异常回报，可以用事件和控制股票的非系统性和系统性特征的差异来解释。我们发现，它们的结果主要是由企业特征的规范化驱动的，这使得估计的回归系数具有可比性。不幸的是，他们的标准化过程意味着非线性和随机回归关系的增加。这些效应影响了斜率系数，潜在的偏差α，并极大地夸大了其标准误，这使得即使是经济意义上较大的α估计值也不显著。回顾他们的回归分析表明，即使事件公司和他们对应的控制公司在不同的特征上有所不同，这些差异通常不会消除由阿尔法衡量的异常回报。

On Long-Run Stock Returns after Corporate Events

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

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.

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

翻译：董宇佳