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研究生:盧盈帆
研究生(外文):Ying-Fan Lu
論文名稱:產品撤銷之股票市場日內反映
論文名稱(外文):An Intra-day Analysis of Market Reaction to Product Recalling Announcements
指導教授:陳軒基陳軒基引用關係
指導教授(外文):Hsuan-Chi Chen
學位類別:碩士
校院名稱:元智大學
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:2005
畢業學年度:93
語文別:英文
論文頁數:53
中文關鍵詞:產品撤銷微結構事件研究法日內交易
外文關鍵詞:product recallsmicrostructureevent studyintra-day activity
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摘要
最近,我們發現台灣有越來越多的新產品撤銷新聞宣告。舉例來說,有一知名的飲料廠商因為產品被下毒而立即全面回收他們的產品導致財富嚴重損失。如此一來可能導致他們商譽受損而且使他們未來獲利性降低,這樣的新聞在美國更是司空慣見。
本論文的目的在於研究產品撤銷對市場報酬的影響。不同於之前的文獻,我們分析日內資料的反應。本研究最後總共收集到318筆樣本。我們將樣本分成汽車與非汽車產業,並且個別研究交易時間與非交易時間資料的不同反應。除了使用事件研究法之外,我們根據Busse and Green (2002)的方法來研究市場價格對產品撤銷宣告的日內反應與交易活動日內變化。此外,我們亦採用Lee, Mucklow, and Ready (1993)的方法來進行單一樣本檢定與多樣本檢定。
結果發現,當公司宣告撤銷產品時,股東確實會遭受財富損失,特別是在非交易時間宣告的非汽車產業。接著,我們根據Busse and Green (2002)計算交易強度並發現投資者在產品撤銷宣告後會立即進行交易。最後,我們根據Lee, Mucklow, and Ready (1993)的方法來進行單一樣本檢定與多樣本檢定。結果發現,不管是單一樣本檢定或多樣本檢定,也不論有沒有控制交易量變數,spread 在宣告時會變寬而depth會變窄。這樣的結果與Lee, Mucklow, and Ready (1993)的結果相呼應。
ABSTRACT
Recently, we find there are more and more news of product recalling announcements in Taiwan. For example, one of famous drink manufactures suffers a great of wealth loss by being poisoned. They must recall all of their products immediately. It may injure their goodwill and cause a decreasing profitability in the future. Such kinds of product recalls always discover in the United Sates of America.
The purpose of this thesis is that we want to examine the impact of market return on product recalls and obvious the trading activity of investors around product recalling announcements. Different from prior references, we take an intra-day analysis. All samples we obtained finally are 318. We divide data into two groups (automobile industry and non-automobile industry) and we also estimate by daytime and overnight individually. We use event study and adopt Busse and Green’s (2002) methodology to investigate the alteration of market price and trading activity to defect product recalls. Besides, we also accept Lee, Mucklow, and Ready’s (1993) method to examine univariate test and multivariate test.
Summary of our results, we find that stockholders really suffer a wealth loss when companies announce to recall their products, especially in non-trading hours of non-automobile industry. In the next place, we compute the intra-day trading activity of investors by following Busse and Green’s (2002) and discover that investors’ trade immediately after revealing product recalls. Besides, investors prefer sell stock to buy stock. Finally, we investigate univariate and multivariate by following Lee, Mucklow, and Ready (1993). We discover that quoted spreads and effective spreads will widen, but quoted depths will narrow at announcement point whatever controlling volume or not in univariate and in multivariate test. These results consist with that of Lee et al. (1993).
Contents
I. Introduction 1
II. Data…. 5
III. Methodology 9
III.1. Responses of recalls to market price and trading activities 10
III.11. Abnormal returns 10
III.12. Regressions 10
III.13. Nonparametric bootstrap 10
III.14. Tick rule 12
III.15. Order imbalance 12
III.16. Kolmogorov-Smirnov test 13
III.2. The reaction of liquidity to product recalls 13
III.21. Univariate test 13
III.22. Multivariate test 14
IV. Responses of recalls to market price and trading activities 15
IV.1. The magnitude of price reaction 15
IV.2. The speed of price reaction 16
IV.3. Cross-sectional responses 17
IV.4. Trading activity 20
V. The liquidity shifts around product defecting recalls 21
V.1. Univariate results 21
V.2. Multivariate results 23
VI. Conclusion 25
Reference 28
List of Figure
Figure 1 Cumulative Abnormal Returns of product recalls 31
Figure 2 Cumulative abnormal returns of non-trading and trading hours 32
Figure 3. Change in quoted spreads, effective spreads, quoted depths and trading volume around product recalls 33

List of Table
Table 1. Descriptive Statistic of all recalling announcements from 1997 to 2003 34
Table 2. Speed of price reaction to product recalling announcements 35
Table 3. Speed of price reaction to product recalling announcements divided into trading and non-trading hours 37
Table 4. Characteristics of price reaction to product recalling announcements 40
Table 5. Characteristic of price alteration in each minute around product recalls 41
Table 6. Characteristic of price reaction in each minute around product recalls – arrange trading hours and industry 42
Table 7. Number of trade surrounds product recalling announcements 43
Table 8. Volume of trade surrounds product recalling announcement 44
Table 9. Order imbalance surrounds product recalling announcements 45
Table 10. Changes of quoted spreads, quoted depths, effective spreads surround product recalling announcements 46
Table 11. Changes in liquidity per day around product recalls 48
Table 12. Changes in liquidity at event interval controlling trading volumes of product recalling announcements 51
Reference
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