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事件研究法 事件研究法是一种财务经验研究方法,是了解股票市场证券价格与特定事件(如公司股利宣告或盈余发布)间关联性的实证分析,其研究的逻辑线索简单明了,即用非正常收益(abnormal return)来判断某事件的发生是否影响了时序性价格数据的产生。若此事件显著,使该公司股价波动状况异于无此事件时的表现,则会产生非正常收益。而事件研究主要的目的在于利用统计方法检验非正常收益状况,借以明确该事件是否对公司股价造成影响。非正常收益是一个很重要的指标,用来度量股价对事件发生或信息披露异常反应的程度。实施事件研究可分成三步:
Event research method Research method is a financial experience research method, is to understand the stock market securities prices and specific events (such as the announcement of the company dividends or earnings release) the empirical analysis of the relevance of the logic of the study simple and clear, that is, non-use Normal return (abnormal return) to determine whether the occurrence of an event has affected the timing of price data. If this event is significant, the company’s stock price volatility is different from the performance when there is no such event, and an abnormal return will result. The main purpose of event research is to use statistical methods to test the abnormal return status so as to make it clear whether the event has an impact on the company’s share price. Abnormal earnings is a very important indicator to measure the stock price to the extent of the incident or abnormal response to information disclosure. Implementing incident research can be divided into three steps: