事件研究(EventStudy) 方法与应用(吴荷青)汇总
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ARAR
3. CARSCAR
CARi
1,
2
* i
SCARi
1,
2
CARi 1, 2 i 1, 2
4.N
CAR 1, 2
1 N
N
CARi 1, 2
i 1
SCAR 1,2
1 N
N
SCARi 1, 2
i 1
5. 0
J1
CAR 1, 2
1
~ N 0,1
2 1, 2 2
1
J2
year=year(Trade_date); else year=year(Trade_date)+1; month=month(Trade_date); dm=stock_code; run;
( )
(]Hale Waihona Puke Baidu
(]
(]
T0
T1
0
T2
T3
T0-T1L1=T1-T0 T1-T2L2=T2-T1 0 T2-T3 (L3=T3-T2)
CAPM.
1 (the constant mean model)
Rit i it
Eit 0
VARit
1974-2000JB,JF JFE,JFQARFS 565 JFJFE200Kothari and Warner,2004
AR,JAE,JAR,CAR,RAS.
1. Fama,Fisher, Jensen, and Roll 1969
2. EMH
3.
4.
N L1 4
L1 2
2
SCAR1, 2 ~
N 0,1
J1J2
J2
J1
J1J2
CAS
CAR
1it1t2 CARi(t1,t2) CARi(t1,t2)i12...N 0CAR T1<t1<=t2<=T2
it1t2CARi(t1,t2)
t2
CARi (t1, t2 ) ARt t t1
t1t2
CAR
CARi
(t1, t2 )
t2
1 t1
1
t2 t t1
ARt
2000P91
2 ARCAR(t1,t2) (t1,t2) AR 1(t1,t2) AR,
ARt
1
N
N i 1
ARit
tt1...t2
End
CAR(t1, End ) ARt t t1
,Endt1...t2t2- t1+1
marked-adjusted-return model
IPOunderpricing Ritter1990
4.
CAPMAPT
2070CAPM CAPM CAPM
CAPM
Fama-French1993 Carhart1997
Mean-adjusted return model
Event Study
AR,CAR
SASStata
Ball and Brown(1968),Beaver(1968),Fama et al.(1969)
Prior to that time, "there was little evidence on the central issues of corporate finance. Now we are overwhelmed with results, mostly from event studies" (Fama, 1991, p. 1600).
CAR
CAR
ARCAR
Cross-Sectional Models
CAR Xii i
Asquith Mullins(1986) 11 11
1. 2.1999-2002
3.
4. 5. dmnd 1dmnd 2
nd 6.0-110
-10-1+10
7.
8. AR,CAR
56
9.AR,CARAR 0, CAR0CAR CAR CAR
10.
SAS
/**/ /**/
/*T-171T6 30T*/
data Trade1; set Trade0; if Trade_date<mdy(7,1,year(Trade_date)) then
market-adjusted return model
risk-adjusted return model
Mean-adjusted return model
ARit Rit Ri(t0t1)
Ri(t0t1)it0-t1
market-adjusted return model
market model
(]
(]
(]
T0
T1
0
T2
T3
, Rit i iRmt it ,t-150,...,-11(T0-T1)
5 Testing procedure
(the null hypothesis) H0:ARCAR0,CAR
6 Empirical results
7 Interpretation and conclusions
1 Event definition
---- (event window)
2 Selection criteria
( )
3
* it
Rit
E
Rit
|
Xt
4 Estimation procedure (estimation window)
(estimation window] (event window]
2
i
Brown and Warner 19801985
ARsCAR
2(market model)
Rit i i Rmt it
Eit 0
VAR it
2 i
AR
CAR CAR
2 i
1 Ri2 Var Rit
2 i
Var
Rit
3.
Typically the factors are portfolios of traded securities. factor model one-factor model(e.g. market model) multifactor model
i 0 i 1
ARit Rit Rmt
risk-adjusted return model
Market model CAPM
AR
1.
Ri X ii i Rit i i Rmt it
OLS ^i
OLS
2.[*^i]AR
AR
AR0 AR1
2
ARi ^i* N (0,Vi )
3. CARSCAR
CARi
1,
2
* i
SCARi
1,
2
CARi 1, 2 i 1, 2
4.N
CAR 1, 2
1 N
N
CARi 1, 2
i 1
SCAR 1,2
1 N
N
SCARi 1, 2
i 1
5. 0
J1
CAR 1, 2
1
~ N 0,1
2 1, 2 2
1
J2
year=year(Trade_date); else year=year(Trade_date)+1; month=month(Trade_date); dm=stock_code; run;
( )
(]Hale Waihona Puke Baidu
(]
(]
T0
T1
0
T2
T3
T0-T1L1=T1-T0 T1-T2L2=T2-T1 0 T2-T3 (L3=T3-T2)
CAPM.
1 (the constant mean model)
Rit i it
Eit 0
VARit
1974-2000JB,JF JFE,JFQARFS 565 JFJFE200Kothari and Warner,2004
AR,JAE,JAR,CAR,RAS.
1. Fama,Fisher, Jensen, and Roll 1969
2. EMH
3.
4.
N L1 4
L1 2
2
SCAR1, 2 ~
N 0,1
J1J2
J2
J1
J1J2
CAS
CAR
1it1t2 CARi(t1,t2) CARi(t1,t2)i12...N 0CAR T1<t1<=t2<=T2
it1t2CARi(t1,t2)
t2
CARi (t1, t2 ) ARt t t1
t1t2
CAR
CARi
(t1, t2 )
t2
1 t1
1
t2 t t1
ARt
2000P91
2 ARCAR(t1,t2) (t1,t2) AR 1(t1,t2) AR,
ARt
1
N
N i 1
ARit
tt1...t2
End
CAR(t1, End ) ARt t t1
,Endt1...t2t2- t1+1
marked-adjusted-return model
IPOunderpricing Ritter1990
4.
CAPMAPT
2070CAPM CAPM CAPM
CAPM
Fama-French1993 Carhart1997
Mean-adjusted return model
Event Study
AR,CAR
SASStata
Ball and Brown(1968),Beaver(1968),Fama et al.(1969)
Prior to that time, "there was little evidence on the central issues of corporate finance. Now we are overwhelmed with results, mostly from event studies" (Fama, 1991, p. 1600).
CAR
CAR
ARCAR
Cross-Sectional Models
CAR Xii i
Asquith Mullins(1986) 11 11
1. 2.1999-2002
3.
4. 5. dmnd 1dmnd 2
nd 6.0-110
-10-1+10
7.
8. AR,CAR
56
9.AR,CARAR 0, CAR0CAR CAR CAR
10.
SAS
/**/ /**/
/*T-171T6 30T*/
data Trade1; set Trade0; if Trade_date<mdy(7,1,year(Trade_date)) then
market-adjusted return model
risk-adjusted return model
Mean-adjusted return model
ARit Rit Ri(t0t1)
Ri(t0t1)it0-t1
market-adjusted return model
market model
(]
(]
(]
T0
T1
0
T2
T3
, Rit i iRmt it ,t-150,...,-11(T0-T1)
5 Testing procedure
(the null hypothesis) H0:ARCAR0,CAR
6 Empirical results
7 Interpretation and conclusions
1 Event definition
---- (event window)
2 Selection criteria
( )
3
* it
Rit
E
Rit
|
Xt
4 Estimation procedure (estimation window)
(estimation window] (event window]
2
i
Brown and Warner 19801985
ARsCAR
2(market model)
Rit i i Rmt it
Eit 0
VAR it
2 i
AR
CAR CAR
2 i
1 Ri2 Var Rit
2 i
Var
Rit
3.
Typically the factors are portfolios of traded securities. factor model one-factor model(e.g. market model) multifactor model
i 0 i 1
ARit Rit Rmt
risk-adjusted return model
Market model CAPM
AR
1.
Ri X ii i Rit i i Rmt it
OLS ^i
OLS
2.[*^i]AR
AR
AR0 AR1
2
ARi ^i* N (0,Vi )