跳到主要內容

臺灣博碩士論文加值系統

(35.172.136.29) 您好!臺灣時間:2021/07/29 06:32
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:廖哲毅
研究生(外文):Che-I Liao
論文名稱:破產宣告對破產公司及其同業的衝擊-日內分析
論文名稱(外文):The Impact of Bankruptcy Announcements on Bankrupt Firms and Their Competitors-An Intraday Analysis
指導教授:周冠男周冠男引用關係陳聖賢陳聖賢引用關係
指導教授(外文):Robin Chou
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:111
中文關鍵詞:破產傳染效果競爭效果日內分析
外文關鍵詞:intraday analysiscompetitive effectbankruptcycontagion effect
相關次數:
  • 被引用被引用:1
  • 點閱點閱:217
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
摘要
由於科技的進步和網際網路的發達,投資人現在能夠更即時的取得破產的相關資訊,市場效率性也因此而大幅改善。由於之前多數的研究都偏重於日資料的分析,因此本文主要用日內的資料來測試市場對破產宣告的反應,並對市場的效率性作更進一步的分析。本研究首先以日資料的分析來確定樣本的正確性,進一步再用日內的資料來研究破產宣告對破產公司及其同業的影響,並探討影響破產衝擊的因素和投資人的反應。研究結果發現,破產宣告會對破產同業公司帶來傳染效果和競爭效果。而此兩種效果會對股價調整速度、交易量和交易筆數等產生不同的影響。
Abstract
This paper investigates the effect of bankruptcy announcements on the stocks of bankrupt firms and their competitors. In our intraday analysis, both bankrupt firms and their competitors suffer large losses in the of the bankruptcy announcements. We also find contagion and competitive effects exist in intraday data and these effects will affect stock price reaction in different ways. Candidates for the contagion effect experience a large significant loss immediately following the announcement, and their trading intensity increases first and then decreases. However, contrary to expectation, candidates for the competitive effect also have a significant negative return, supporting that the competitive effect is dominated by the contagion effect in the intraday data. We also find that the trading intensity of firms subject to potential competitive effects does not change so much. Moreover, we investigate the order imbalances and discover that the order imbalances tend to be negative for bankrupt firms and their competitors after the bankrupt announcements and the contagion and competitive effects do not influence the behavior of the order imbalances.
Contents
1 Introduction……………………………………………………………………1
2 Data and methodology…………………………………………………………3
3 Effect of Bankruptcy Announcements-Daily Data……………………….........6
3.1 The Impact of Bankruptcy Announcements on Bankrupt Firms and Their Competitors………..…………………………………………………….6
3.2 Do Contagion and Competitive Effect Exist in the Daily Data………….7
3.3 Regression Test-Daily Data…………………….…………….…………10
4 Price Response to Bankruptcy Announcements-Intraday Data………………..11
4.1 Magnitude of Price Response……………………….……………….…..11
4.2 Speed of Price Response………………………………….……………...13
4.3 Regression Test for Bankrupt Firms-Intraday Data……………………....16
5 The Impact of Bankruptcy Announcements on Trading…..................................17
5.1 The Change of Trading Volumes and Trades………………………….….17
5.2 The Order Imbalance Test……………………………………...................19
6 The Conclusions…………………………………………………...…………….20
Reference…………………………………………………….…………………..94
Appendix………………………………………………………………………...96
Altman, Edward, 1969. Bankrupt firms’ equity securities as an investment alternative, Financial Analyst Journal, July-Aug., 129-133.
Atman, Edward, 1984. A further investigation of the bankruptcy cost question, Journal of Finance 39, 1067-1089.
Barclay, M., Litzenberber, R., 1998. Announcement effects of new equity issues and the use of intraday price data. Journal of Financial Economics 21, 71-99.
Chordia, T., Roll, R., Subrahmanyam, A., 2001. Market liquidity and trading activity. Journal of Financial Economics 14, 3-31.
Clark, Truman A. and Mark Weistein, 1983. The behavior of the common stock of bankrupt firms, Journal of Finance 38, 489-504.
Jeffrey A. Busse, T. Clifton Green 2002, Market efficiency in real time, Journal of Financial Economics 65, 415-437.
Lang, L.H.P., Stulz, R.M., 1992. Contagion and competitive intra-industry effects of bankruptcy announcements: An empirical analysis. Journal of Financial Economics 32(1), 45-60.
Mark C. Dawkins and Ena Ross-Green, 1998. Prior wall street journal announcements of possible bankruptcy filings and price reactions to subsequent bankruptcy filings. Journal of Business Finance and Accounting 25(7), 813-827.
Mark C. Dawkins and Linda Smith Bamber, 1998. Does the medium matter? The relations among bankruptcy petition filings, broadtape disclosure, and the timing of price reactions. The Journal of Finance 3, 1149-1163.
Stephen P. Ferris, Narayanan Jayaraman, and Anil K. Makhija, 1997. The response of competitors to announcements of bankruptcy: An empirical examination of contagion and competitive effects. Journal of corporate finance 3, 367-395.
Warner, J.B., 1977. Bankruptcy, absolute priority, and the pricing of risky debt claims. Journal of Financial Economics 4, 239-276.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊