事件研究法解读.pptVIP

multifactor model的问题 the gains from employing multifactor models for event studies are limited. the marginal explanatory power of additional factors the market factor is small, and hence, there is little reduction in the variance of the abnormal return. The variance reduction will typically be greatest in cases where the sample firms have a common characteristic, for example they are all members of one industry or they are all firms concentrated in one market capitalization group. * 常见的正常收益估计模型：经济模型 CAPM The use of the Capital Asset Pricing Model is common in event studies of the 1970s. The validity of the restrictions imposed by the CAPM on the market model is questionable. This has introduced the possibility that the results of the studies may be sensitive to the specific CAPM restrictions. Because this potential for sensitivity can be avoided at little cost by using the market model, the use of the CAPM has almost ceased. * Arbitrage Pricing Theory (APT). A general finding is that with the APT the most important factor behaves like a market factor and additional factors add relatively little explanatory power. The main potential gain from using a model based on the arbitrage pricing theory is to eliminate the biases introduced by using the CAPM. However, because the statistically motivated models also eliminate these biases, for event studies such models dominate. * Example（以市场模型为例） （1）. 求正常收益  从估计窗中运用OLS得到 * E-* Chapter E ? Game theory E-* Chapter E ? Game theory E-* Chapter E ? Game theory E-* Chapter E ? Game theory E-* Chapter E ? Game theory E-* Chapter E ? Game theory Event Study * 回顾：市场效率 不同信息对价格具有不同的影响程度，因而存在三种不同程度的市场效率： 弱式有效 半强式有效 强式有效 通常的，事件研究可以应用于分析市场是否半强式有效，即证券价格是否会立即反映公开信息对公司价值的影响。 但不尽然…… * * 一些例子 * * * * 事件研究法的应用范围 (1)公司财务领域：如兼并收购的财富效应以及公司融资决策的价格效应等。 (2)经济法律领域：如被美国高等法院接受作为在内幕交易案中重大性原则的专业性判断标准，并作为审理证券欺诈性时确定受偿水平的参照方法。 (3)宏观经济调控：如用于测定规制监管环境的变化对公司价值的影响等。 （4）…… * 应用实例： 1. Halpem (1982)：利用事件研究的方法对公司并购进行了相关的研究，验证了有关公司并购的一些财务理论。 2. Manuel,