Critical Finance Review, 2017(Forthcoming)

再论公司事件后的长期股票收益

作者：Hendrik Bessembinder (Arizona State University), Feng Zhang (University of Utah)

摘要：Kolari、Pynnonen和Tuncez基于模拟的结果批判了Bessembinder和Zhang (2013)用来衡量公司重要事件后收益的公司特征标准化。然而，他们的模拟结果只是证实了在真实的关系是线性的情况下，非线性的标准化是不合适的。虽然对数收益和公司特征的关系是未知的，但是因为公司特征的分布具有很大的偏度，所以两者之间也不太可能存在线性关系。在这里我们报告了bootstrap模拟的结果，表明当用真实的数据中时，我们的方法可以提供具有适当统计规模且能够高水平探测超额收益的无偏估计。Kolari、Pynnonen和Tuncez也提供了包含有用的敏感性检验的实证估计。他们的结果证实了公司特征在测量发生事件的公司是否获得了超额收益方面是有效的，很大程度证明了我们关于兼并收购、再融资和股利增加的结论，但是关于首次公开发行的结论取决于实现方法的选择。

关键词：公司事件、公司特征、异常收益

Long Run Stock Returns after Corporate Events Revisited

Hendrik Bessembinder (Arizona State University), Feng Zhang (University of Utah)

ABSTRACT

Kolari, Pynnonen, and Tuncez rely on simulation outcomes to criticize the normalization of firm characteristics employed by Bessembinder and Zhang (2013) to assess returns after major corporate events. However, their simulation outcomes simply verify that a non-linear normalization is inappropriate if the true relation is linear. The relation between log returns and firm characteristics is unknown, but is unlikely to be linear, as the distribution of firm characteristics is strongly skewed. Here, we report on bootstrap simulations that show our methods provide unbiased estimates with appropriate statistical size and high power to detect abnormal returns when implemented in actual data. Kolari, Pynnonen, and Tuncez also provide empirical estimates that comprise useful sensitivity tests. Their results verify that firm characteristics are useful in assessing whether returns to event firms are abnormal, largely confirm our conclusions with regard to SEOs, M&As, and dividend increases, but show that conclusions regarding IPOs depend on implementation choices.

Keywords: corporate events; firm characteristics; abnormal return

原文链接：http://cfr.ivo-welch.info/readers/2017/bessembinder-zhang-2017.pdf

翻译：任兆月