The Timing and Substance of Divestiture Announcements: Individual, Simultaneous and Cumulative Effects
The Timing and Substance of Divestiture Announcements: Individual, Simultaneous and Cumulative Effects
复制标题
剥离公告的时间和实质：单独、同时和累积影响
DOI：
10.1111/j.1540-6261.1986.tb04532.x
复制
发表时间：
1986
影响因子：
8
通讯作者：
April Klein
中科院分区：
文献类型：
--
作者：
April Klein
本文研究了参与自愿抛售的公司之间公告日效应的差异。虽然平均而言，最初的抛售公告会带来显着的正超额回报，但并非所有剥离公告都会伴随着积极的价格变动。根据是否公布交易价格将样本分为两个子样本，结果表明，公告日效应对于价格组显着为正，但对于无价格组与零没有统计差异。此外，抛售的相对规模与公告日回报之间存在正相关关系。最近发表的分拆研究表明，有证据表明公告日和公告日前的股价效应具有积极作用。然而，关于自愿抛售的实证研究并未产生统一的正向或负向价格变动。2相反，它们显示了正向或零公告日累计平均回报率（CARS）以及公告日前后股价变化的混合（即正、负或零）。本文的目的是研究参与自愿抛售的出售公司在公告日超额回报的差异，并找出股价反应差异背后的因素。正如我们所展示的，两个这样的因素是剥离的相对规模以及销售（交易）价格是否最初公布。检查最近剥离事件研究的样本支持了这些发现。之前的论文将样本限制在包含交易价格或相对较大的资产剥离的初始公告中，报告了显着的正公告日回报。不区分价格或相对规模的研究发现，公告日回报较小或微不足道。当然，这并不意味着价格披露和规模是决定公告日影响的唯一因素。然而，这些发现与本文报告的结果一致。本研究分为六个部分。第一节介绍研究设计。
This paper examines differences in announcement day effects among firms engaged in voluntary sell-offs. While, on average, an initial sell-off announcement results in a significant positive excess return, not all divestiture announcements are accompanied by positive price movements. Dividing the sample into two subsamples based on whether the transaction price is announced shows that the announcement day effect is significantly positive for the price group but not statistically different from zero for the noprice group. In addition, a positive relation is found between the relative size of the selloff and the announcement day return. RECENT PUBLISHED STUDIES of spin-offs show evidence of positive announcement day and pre-announcement day stock price effects.' However, empirical studies on voluntary sell-offs have not produced uniform positive or negative price movements.2 Instead, they show positive or zero announcement day cumulative average returns (CARS) and mixed (i.e., positive, negative or zero) preand post-announcement day share price changes. The purpose of this paper is to examine the discrepancies in announcement day excess returns for the selling firms engaged in voluntary sell-offs and to isolate factors behind the differences in share price responses. As we show, two such factors are the relative size of the divestiture and whether the sales (transaction) price is initially announced. Examining the samples of recent divestiture event studies support these findings. Previous papers that restrict their samples to initial announcements containing transaction price or relatively large divestitures report significantly positive announcement day returns. Studies that do not discriminate among price or relative size find smaller or insignificant announcement days returns. This, of course, does not imply that price disclosure and size are the sole factors in determining announcement day effects. However, these findings are consistent with the results reported in this paper. This study is divided into six sections. Section I presents the research design.