chapter14
THE EVENT STUDY TIME LINET0 T1 T1 + 1 0Start date forestimationwindowEnd date forestimationwindowStart date forevent windowEventdateE S T IM A T IO N W IN D O WT h e e s t i m a t i o n w i n d o w i s u s e d t od e t e r m i n e t h e n o r m a l b e h a v i o r o f t h es t o c k w r t m a r k e t f a c t o r s . M o s t o f t e nw e u s e t h e r e g r e s s i o n R i t = a + b R m tt o d e t e r m i n e t h i s n o r m a l b e h a v i o r .E V E N T W IN D O WW e u s e d a t a f r o m t h i s w i n d o w , i n c o n j u n c t i o nw i t h t h e a a n d b o f t h e s t o c k o r s t o c k s t od e t e r m i n e w h e t h e r :i ) T h e e v e n t a n n o u n c e m e n t w a s a n t i c i p a t e do r l e a k e d .i i ) T h e p o s t - a n n o u n c e m e n t e f f e c t : H o w l o n gi t t o o k f o r t h e e v e n t i n f o r m a t i o n t o b ea b s o r b e d b y t h e m a r k e t .T2 T2 + 1 T3End date forevent windowStart date forpost-eventwindowEnd date forpost-eventwindowP O S T -E V E N T W IN D O WU s e d t o i n v e s t i g a t e l o n g e r - t e r m c o m p a n yp e r f o r m a n c e f o l l o w in g t h e e v e n t .THE EVENT STUDY TIME LINEE V E N T W IN D O WW e u s e d a t a f r o m t h i s w i n d o w , i n c o n j u n c t i o nw i t h t h e a a n d b o f t h e s t o c k o r s t o c k s t od e t e r m i n e w h e t h e r :i ) T h e e v e n t a n n o u n c e m e n t w a s a n t i c i p a t e do r l e a k e d .i i ) T h e p o s t - a n n o u n c e m e n t e f f e c t : H o w l o n gi t t o o k f o r t h e e v e n t i n f o r m a t i o n t o b ea b s o r b e d b y t h e m a r k e t .事件研究时间轴T0 T1 T1 + 1 0估计窗口的开始日期估计窗口的结束日期事件窗口的开始日期 事件日E S T IM A T IO N W IN D O WT h e e s t i m a t i o n w i n d o w i s u s e d t od e t e r m i n e t h e n o r m a l b e h a v i o r o f t h es t o c k w r t m a r k e t f a c t o r s . M o s t o f t e nw e u s e t h e r e g r e s s i o n R i t = a + b R m tt o d e t e r m i n e t h i s n o r m a l b e h a v i o r .E V E N T W IN D O WW e u s e d a t a f r o m t h i s w i n d o w , i n c o n j u n c t i o nw i t h t h e a a n d b o f t h e s t o c k o r s t o c k s t od e t e r m i n e w h e t h e r :i ) T h e e v e n t a n n o u n c e m e n t w a s a n t i c i p a t e do r l e a k e d .i i ) T h e p o s t - a n n o u n c e m e n t e f f e c t : H o w l o n gi t t o o k f o r t h e e v e n t i n f o r m a t i o n t o b ea b s o r b e d b y t h e m a r k e t .估 计 窗 口估 计 窗 口 常 用 于 确 定 和 市 场因 素 有 关 的 股 票 的 一 般 表 现。 多 数 情 况 下 我 们 使 用 回 归方 程 R i t = a + b R m t来 确 定 这 个 “一 般 ”的 表 现 。事 件 窗 口我 们 用 这 个 窗 口 中 的 数 据 结 合 股 票的a和b来 确 定 :)事 件 的 宣 布 是 否 可 预 见 或 被 泄 露 。i i) 事 件 的 影 响 :市 场 要 多 久 才 能 吸 收 所 有 的 信 息 。T2 T2 + 1 T3事件窗口的结束日期事后窗口的开始日期事后窗口的结束日期P O S T -E V E N T W IN D O WU s e d t o i n v e s t i g a t e l o n g e r - t e r m c o m p a n yp e r f o r m a n c e f o l l o w in g t h e e v e n t .事 后 窗 口用 于 研 究 事 件 对 公 司 长 期 表 现 的影 响事件研究时间轴E V E N T W IN D O WW e u s e d a t a f r o m t h i s w i n d o w , i n c o n j u n c t i o nw i t h t h e a a n d b o f t h e s t o c k o r s t o c k s t od e t e r m i n e w h e t h e r :i ) T h e e v e n t a n n o u n c e m e n t w a s a n t i c i p a t e do r l e a k e d .i i ) T h e p o s t - a n n o u n c e m e n t e f f e c t : H o w l o n gi t t o o k f o r t h e e v e n t i n f o r m a t i o n t o b ea b s o r b e d b y t h e m a r k e t .事 件 窗 口我 们 用 这 个 窗 口 中 的 数 据 结 合 股 票的a和b来 确 定 :)事 件 的 宣 布 是 否 可 预 见 或 被 泄 露 。i i) 事 件 的 影 响 :市 场 要 多 久 才 能 吸 收 所 有 的 信 息 。DRAFT: 2017/6/27 Privileged and Confidential: Attorney Work Product2 0 0 5 / 1 2 / 3 12 0 0 5 / 1 1 / 62 0 0 5 / 9 / 1 22 0 0 5 / 7 / 1 92 0 0 5 / 5 / 2 52 0 0 5 / 3 / 3 12 0 0 5 / 2 / 42 0 0 4 / 1 2 / 1 12 0 0 4 / 1 0 / 1 72 0 0 4 / 8 / 2 32 0 0 4 / 6 / 3 0$ 3 0 $ 3 5 $ 4 0 $ 4 5 $ 5 0 $ 5 5 $ 6 0 S t o c kP r i c eG illette C om pany and P roctor & G am bleC losing Stock P rice6/30/04 12/31/05P r o c te r & G a m b leG ille tte C o m p a n y1 /2 8 /0 5A n n o u n c e m e n t D a te1 0 /3 /0 5 C o m p le tio n D a teDRAFT: 2017/6/27 Privileged and Confidential: Attorney Work Product2 0 0 5 / 1 2 / 3 12 0 0 5 / 1 1 / 62 0 0 5 / 9 / 1 22 0 0 5 / 7 / 1 92 0 0 5 / 5 / 2 52 0 0 5 / 3 / 3 12 0 0 5 / 2 / 42 0 0 4 / 1 2 / 1 12 0 0 4 / 1 0 / 1 72 0 0 4 / 8 / 2 32 0 0 4 / 6 / 3 0$ 3 0 $ 3 5 $ 4 0 $ 4 5 $ 5 0 $ 5 5 $ 6 0 股 票 价吉 列 公 司 和 宝 洁 公 司 收 盘 价6/30/04 12/31/05宝 洁 公 司吉 列 公 司1 /2 8 /0 5宣 告 日1 0 /3 /0 5完 成 日股 票 价GILLETTE RETURNS: ESTIMATION WINDOWAND EVENT WINDOWIntercept 0.0007 0,$O$3:$O$18)/COUNTIF(E3:E18,0)Non-positivesurprise -3.24%0,$O$3:$O$18)/COUNTIF(E3:E18,0)0,$O$3:$O$18)/COUNTIF(E3:E18,0)非正超额 -3.24%0,$O$3:$O$18)/COUNTIF(E3:E18,0)0,$O$3:$O$18)/COUNTIF(E3:E18,0)None-positivesurprise -3.24%0,$O$3:$O$18)/COUNTIF(E3:E18,0)0,$O$3:$O$18)/COUNTIF(E3:E18,0)None-正超额 -3.24%0,$O$3:$O$18)/COUNTIF(E3:E18,0)0,B35:Q35)/COUNTIF($B$6:$Q$6,0)CUMULATIVE ABNORMAL RETURNS IN THE WINDOW -10 TO +10ABNORMAL RETURNJ K L M N O P Q R S1234567891011121314151617181920212223242526272829303132333435363738394041J K L M N O P Q R S4243Cell U11 contains formula=SQRT(SUMPRODUCT(IF($B$6:$Q$60,$B$11:$Q$11),IF($B$6:$Q$60,$B$11:$Q$11)*(1/COUNTIF($B$6:$Q$6,0)2)Unadjusted cross-sectional errors -PositiveUnadjusted cross-sectional errors -Non-Positive0.49% 0.54%Positive-Earnings Announcements Non-Positive EarningsAnnouncementsAAR T-statCumulativeAbnormalReturnsAAR T-statCumulativeAbnormalReturns-0.57% -1.1615 -0.57% -0.09% -0.1632 -0.09%-0.48% -0.9931 -1.05% 0.10% 0.1944 0.02%0.00% 0.0026 -1.05% 0.04% 0.0670 0.05%-0.39% -0.8046 -1.44% 0.01% 0.0251 0.07%-0.57% -1.1777 -2.01% -0.54% -1.0058 -0.48%0.05% 0.1043 -1.96% -0.55% -1.0278 -1.03%-0.18% -0.3753 -2.14% 0.37% 0.6774 -0.67%-0.75% -1.5410 -2.89% -0.34% -0.6376 -1.01%0.53% 1.0900 -2.36% 0.54% 0.9917 -0.47%0.85% 1.7437 -1.51% -0.74% -1.3685 -1.21%2.65% 5.4406 1.13% -3.24% -6.0062 -4.46%0.46% 0.9409 1.59% -1.63% -3.0190 -6.08%0.02% 0.0335 1.61% 0.40% 0.7356 -5.69%-0.63% -1.2939 0.98% 0.22% 0.4121 -5.47%0.02% 0.0355 0.99% 0.24% 0.4434 -5.23%-0.30% -0.6087 0.70% -0.52% -0.9620 -5.75%-0.28% -0.5690 0.42% 0.55% 1.0269 -5.19%0.34% 0.6998 0.76% 0.47% 0.8643 -4.72%-0.36% -0.7326 0.41% 0.14% 0.2680 -4.58%0.15% 0.3154 0.56% -0.45% -0.8382 -5.03%0.12% 0.2425 0.68% -0.20% -0.3614 -5.23%Cell X35 contains formula=SUMIF($B$6:$Q$6,0,B35:Q35)/COUNTIF($B$6:$Q$6,0)T U V W X Y Z AA1234567891011121314151617181920212223242526272829303132333435363738394041Cell V35 contains formula =T35+V34 Cell Z35 contains formula =X35+Z34T U V W X Y Z AA4243Cell X35 contains formula=SUMIF($B$6:$Q$6,0,B35:Q35)/COUNTIF($B$6:$Q$6,0)事件前后10天的窗口的累计异常收益ABNORMAL RETURNJ K L M N O P Q R S123456789101112131415161718192021222324252627282930313233343536373839404142J K L M N O P Q R S43单元格 U11 包含公式=SQRT(SUMPRODUCT(IF($B$6:$Q$60,$B$11:$Q$11),IF($B$6:$Q$60,$B$11:$Q$11)*(1/COUNTIF($B$6:$Q$6,0)2)未调整截面误差 - 正 未调整截面误差 - 非正0.49% 0.54%正-盈余公告 负-盈余公告AAR t统计量 累计异常收益 AAR t统计量 累计异常收益-0.57% -1.1615 -0.57% -0.09% -0.1632 -0.09%-0.48% -0.9931 -1.05% 0.10% 0.1944 0.02%0.00% 0.0026 -1.05% 0.04% 0.0670 0.05%-0.39% -0.8046 -1.44% 0.01% 0.0251 0.07%-0.57% -1.1777 -2.01% -0.54% -1.0058 -0.48%0.05% 0.1043 -1.96% -0.55% -1.0278 -1.03%-0.18% -0.3753 -2.14% 0.37% 0.6774 -0.67%-0.75% -1.5410 -2.89% -0.34% -0.6376 -1.01%0.53% 1.0900 -2.36% 0.54% 0.9917 -0.47%0.85% 1.7437 -1.51% -0.74% -1.3685 -1.21%2.65% 5.4406 1.13% -3.24% -6.0062 -4.46%0.46% 0.9409 1.59% -1.63% -3.0190 -6.08%0.02% 0.0335 1.61% 0.40% 0.7356 -5.69%-0.63% -1.2939 0.98% 0.22% 0.4121 -5.47%0.02% 0.0355 0.99% 0.24% 0.4434 -5.23%-0.30% -0.6087 0.70% -0.52% -0.9620 -5.75%-0.28% -0.5690 0.42% 0.55% 1.0269 -5.19%0.34% 0.6998 0.76% 0.47% 0.8643 -4.72%-0.36% -0.7326 0.41% 0.14% 0.2680 -4.58%0.15% 0.3154 0.56% -0.45% -0.8382 -5.03%0.12% 0.2425 0.68% -0.20% -0.3614 -5.23%单元格 X35 包含公式=SUMIF($B$6:$Q$6,0,B35:Q35)/COUNTIF($B$6:$Q$6,0)T U V W X Y Z AA123456789101112131415161718192021222324252627282930313233343536373839404142单元格 V35 包含公式 =T35+V34 单元格 Z35 包含公式 =X35+Z34T U V W X Y Z AA43单元格 X35 包含公式=SUMIF($B$6:$Q$6, 0.4157 0.5095 0.0012Standard Error 0.0851 0.1410 0.0007R2 0.3140 0.0103 #N/AF statistic 56.9738 249 #N/ASSxy 0.0122 0.0266 #N/At-stat 4.8818 3.6142 1.8367 0.4157 0.5095 0.0012标准误 0.0851 0.1410 0.0007R2 0.3140 0.0103 #N/AF统计量 56.9738 249 #N/ASSxy 0.0122 0.0266 #N/At统计量 4.8818 3.6142 1.8367 0.4157 0.5095 0.0012Standard Error 0.0851 0.1410 0.0007R2 0.3140 0.0103 #N/AF statistic 56.9738 249 #N/ASSxy 0.0122 0.0266 #N/At-stat 4.8818 3.6142 1.8367 0.4157 0.5095 0.0012标准误 0.0851 0.1410 0.0007R2 0.3140 0.0103 #N/AF统计量 56.9738 249 #N/ASSxy 0.0122 0.0266 #N/At统计量 4.8818 3.6142 1.8367 0.4157 0.5095 0.0012Standard Error 0.0851 0.1410 0.0007R2 0.3140 0.0103 #N/AF statistic 56.9738 249 #N/ASSxy 0.0122 0.0266 #N/At-stat 4.8818 3.6142 1.8367 0.4157 0.5095 0.0012标准误 0.0851 0.1410 0.0007R2 0.3140 0.0103 #N/AF统计量 56.9738 249 #N/ASSxy 0.0122 0.0266 #N/At统计量 4.8818 3.6142 1.8367 - =D3/D4估计窗口所含天数 252 - =COUNT(A15:A266)事件窗口日期 温蒂国际 S&P 500 S&P 500 餐饮业指数 预期收益14-Nov-06 0.73% 0.63% 0.03%15-Nov-06 0.25% 0.24% 0.21% 0.33%16-Nov-06 0.31% 0.23% 1.26% 0.76%17-Nov-06 -6.44% 0.10% -1.78% -0.57%20-Nov-06 -1.59% -0.05% -0.19% 0.02%21-Nov-06 0.15% 0.16% 0.07% 0.23%22-Nov-06 2.80% 0.23% 0.27% 0.35%7-Feb-058-Feb-059-Feb-0510-Feb-0511-Feb-0514-Feb-0515-Feb-0516-Feb-0517-Feb-0518-Feb-0522-Feb-0523-Feb-05 -0.74% -0.08%24-Feb-05 0.05% -0.03%25-Feb-0528-Feb-051-Mar-05A B C D E1234567891011121314266267268269270271272273274275276277278279280281282283284285286287288289290291292293294295296297298图中x轴15nov06 11/15/0616nov06 11/16/0617nov06 11/17/0620nov06 11/20/0621nov06 11/21/0622nov06 11/22/06A B C D E299300301302303304305306307308单元格 B3:D7 包含数组函数=LINEST(B15:B266,C15:D266,TRUE)异常收益(AR)累计异常收益(CAR)-0.08% -0.08% - =F267-0.45% -0.53% - =G267+F268-5.87% -6.40% - =G268+F269-1.61% -8.01%-0.08% -8.09%2.45% -5.64%温蒂公司收益: 估计窗口和事件窗口事件窗口F G H1234567891011121314266267268269270271272273274275276277278279280281282283284285286287288289290291292293294295296297298USING OFFSET, COUNTIF, AND TEXTTO LOCATE A REGRESSION IN A DATA SETDateGeneralMillsGISReturn SP500 Return3-Jan-97 57.96 748.036-Jan-97 58.19 0.0040 - =LN(B4/B3) 747.65 -0.00057-Jan-97 59.33 0.0194 753.23 0.00748-Jan-97 59.33 0.0000 748.41 -0.00649-Jan-97 59.91 0.0097 754.85 0.008610-Jan-97 59.91 0.0000 759.5 0.006113-Jan-97 59.68 -0.0038 759.51 0.000014-Jan-97 59.91 0.0038 768.86 0.012215-Jan-97 59.56 -0.0059 767.2 -0.002216-Jan-97 59.56 0.0000 769.75 0.003317-Jan-97 59.56 0.0000 776.17 0.008320-Jan-97 59.44 -0.0020 776.7 0.000721-Jan-97 60.71 0.0211 782.72 0.007722-Jan-97 61.4 0.0113 786.23 0.004523-Jan-97 62.09 0.0112 777.56 -0.011124-Jan-97 61.63 -0.0074 770.52 -0.009127-Jan-97 61.29 -0.0055 765.02 -0.007228-Jan-97 61.06 -0.0038 765.02 0.000029-Jan-97 62.09 0.0167 772.5 0.009730-Jan-97 62.21 0.0019 784.17 0.015031-Jan-97 62.44 0.0037 786.16 0.00253-Feb-97 62.09 -0.0056 786.73 0.0007Starting date 29-一月-97Rows from top of datato starting date 19 - =COUNTIF(A3:A24,=&TEXT(B26,0)RegressionIntercept 0.0022 - =INTERCEPT(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)Slope 0.5198 - =SLOPE(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)R-squared 0.1413 - =RSQ(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)CheckIntercept 0.0022 - =INTERCEPT(C11:C20,F11:F20)Slope 0.5198 - =SLOPE(C11:C20,F11:F20)R-squared 0.1413 - =RSQ(C11:C20,F11:F20)A B C D E F12345678910111213141516171819202122232425262728293031323334353637- =LN(E4/E3)USING OFFSET, COUNTIF, AND TEXTTO LOCATE A REGRESSION IN A DATA SET- =INTERCEPT(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)- =SLOPE(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)- =RSQ(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)G12345678910111213141516171819202122232425262728293031323334353637使用OFFSET, COUNTIF, 和TEXT在数据集中定位回归模型日期 通用磨坊GIS 收益 SP500 收益3-Jan-97 57.96 748.036-Jan-97 58.19 0.0040 - =LN(B4/B3) 747.65 -0.00057-Jan-97 59.33 0.0194 753.23 0.00748-Jan-97 59.33 0.0000 748.41 -0.00649-Jan-97 59.91 0.0097 754.85 0.008610-Jan-97 59.91 0.0000 759.5 0.006113-Jan-97 59.68 -0.0038 759.51 0.000014-Jan-97 59.91 0.0038 768.86 0.012215-Jan-97 59.56 -0.0059 767.2 -0.002216-Jan-97 59.56 0.0000 769.75 0.003317-Jan-97 59.56 0.0000 776.17 0.008320-Jan-97 59.44 -0.0020 776.7 0.000721-Jan-97 60.71 0.0211 782.72 0.007722-Jan-97 61.4 0.0113 786.23 0.004523-Jan-97 62.09 0.0112 777.56 -0.011124-Jan-97 61.63 -0.0074 770.52 -0.009127-Jan-97 61.29 -0.0055 765.02 -0.007228-Jan-97 61.06 -0.0038 765.02 0.000029-Jan-97 62.09 0.0167 772.5 0.009730-Jan-97 62.21 0.0019 784.17 0.015031-Jan-97 62.44 0.0037 786.16 0.00253-Feb-97 62.09 -0.0056 786.73 0.0007开始日期 29-一月-97从顶行到开始日期的行数 19 - =COUNTIF(A3:A24,=&TEXT(B26,0)回归截距 0.0022 - =INTERCEPT(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)斜率 0.5198 - =SLOPE(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)R方 0.1413 - =RSQ(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)检查截距 0.0022 - =INTERCEPT(C11:C20,F11:F20)斜率 0.5198 - =SLOPE(C11:C20,F11:F20)R方 0.1413 - =RSQ(C11:C20,F11:F20)A B C D E F12345678910111213141516171819202122232425262728293031323334353637- =LN(E4/E3)使用OFFSET, COUNTIF, 和TEXT在数据集中定位回归模型- =INTERCEPT(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)- =SLOPE(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)- =RSQ(OFFSET(A3:F24,B27-11,2,10,1),OFFSET(A3:F24,B27-11,5,10,1)G12345678910111213141516171819202122232425262728293031323334353637PRICES AND RETURNS: WENDYS, S&P500, INDUSTRY INDEXDate Wendysprice Wendysreturn Date S&P500price S&P500return Pegprice DateS&Prestaurantindex2-Jan-03 12.28 . 1/2/03 909.03 . . 1/2/03 153.573-Jan-03 12.04 -1.95% 1/3/03 908.59 -0.05% 12.04 1/3/03 151.056-Jan-03 12.27 1.87% 1/6/03 929.01 2.22% 12.31 1/6/03 154.777-Jan-03 12.36 0.73% 1/7/03 922.93 -0.66% 12.23 1/7/03 154.908-Jan-03 12.64 2.25% 1/8/03 909.93 -1.42% 12.06 1/8/03 155.529-Jan-03 13.06 3.23% 1/9/03 927.58 1.92% 12.29 1/9/03 155.9810-Jan-03 13.02 -0.27% 1/10/03 927.57 0.00% 12.29 1/10/03 158.2013-Jan-03 13.04 0.10% 1/13/03 926.26 -0.14% 12.27 1/13/03 157.2614-Jan-03 13.37 2.54% 1/14/03 931.66 0.58% 12.34 1/14/03 156.1115-Jan-03 13.18 -1.45% 1/15/03 918.22 -1.45% 12.16 1/15/03 154.9516-Jan-03 12.90 -2.12% 1/16/03 914.60 -0.40% 12.12 1/16/03 149.9817-Jan-03 12.89 -0.10% 1/17/03 901.78 -1.41% 11.94 1/17/03 148.0221-Jan-03 12.67 -1.68% 1/21/03 887.62 -1.58% 11.76 1/21/03 146.4322-Jan-03 12.56 -0.89% 1/22/03 878.36 -1.05% 11.63 1/22/03 146.9223-Jan-03 12.40 -1.29% 1/23/03 887.34 1.02% 11.75 1/23/03 144.3824-Jan-03 12.08 -2.66% 1/24/03 861.40 -2.97% 11.40 1/24/03 147.7727-Jan-03 11.76 -2.62% 1/27/03 847.48 -1.63% 11.22 1/27/03 145.2828-Jan-03 11.72 -0.38% 1/28/03 858.54 1.30% 11.36 1/28/03 144.9429-Jan-03