Investor Disagreement on Corporate Spin-Offs News : Confluence of Trading Volume and Abnormal Return
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- 발행기관
- 한국재무학회 바로가기
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- 간행물
- 한국재무학회 학술대회 바로가기
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- 통권
- 2012년 5개 학회 공동학술연구발표회 (2012.05)바로가기
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- 페이지
- pp.1314-1372
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- 저자
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- 언어
- 영어(ENG)
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- URL
- https://www.earticle.net/Article/A243136
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원문정보
초록
- 영어
- With a total of 235 sample firms covering from 1966 to 2009 we investigate the effect of thedifference of opinion on cross-sectional variations in abnormal returns of the firm – the firm which experiences temporal surges in the demand for its stocks immediately following the announcement of a corporate spin off. The proxies for the measurements of difference of opinion are abstracted from trading volume and concomitant changes in abnormal returns. Our findings are: (i) The enhancement of value of the firm is the predominant motivation behind corporate spinoff ; (ii)the firm size effect is prominent in wealth gain in that small firms realize much greater post-spinoff value of the firm than large firms; (iii)Whether volumebased differences of investor opinionsare compared with those of the “liquidity effects” or other proxy measures, such as “analysts’ earnings forecasts, ” “abnormal return patterns” and “ownership dispersions,” volume turnover statistics are the reliable proxy measure mirroring the heterogeneous investor reactions to a spinoff news.
목차
Abstract
1. Introduction
2. Related Literature Review
3. Data and Methodology
3.1. Data and Sample Selection
3.2. Sample Distribution
3.3. Descriptive statistics of the sample by year-1 and ex-date month
3.4. Value gain and the size effect
4. Characteristics of the Sample Firms
4.1. Trend in trading volume
5. Measurements for Difference of Opinion
6. The Volume-Based Measures of DO vs. Liquidity Proxies
7. The Volume-Based Measures of DO vs. the Extant DO Proxies
8. Market Reactions to the Spinoff Announcement
9. Difference of Opinion and Market Reaction
9.1. The on-event level of DO and abnormal return
9.2. Disagreement shock and abnormal return
10. Concluding Remarks
References
Table
키워드
Spinoffs Investor disagreement event study announcement effect value creation저자
간행물 정보
발행기관
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- 발행기관명
- 한국재무학회 [The Korean Finance Association]
- 설립연도
- 1988
- 분야
- 사회과학>경영학
- 소개
- 본 회는 재무학 및 이와 관련되는 분야를 발전시키며 회원 상호간의 친목 도모를 목적으로 한다.
간행물
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- 간행물명
- 한국재무학회 학술대회
- 간기
- 부정기
- 수록기간
- 2006~2024
- 십진분류
- KDC 325 DDC 330
이 권호 내 다른 논문 / 한국재무학회 학술대회 2012년 5개 학회 공동학술연구발표회
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