Ball and Brown (1968) Beaver, Clark, and Wrigh (1979) Ball and Brown (1968) abnormal reurns, CAR) (cumulaed DeFond, Hung, and Trezevan, 2007; 1992) (Sronger and Walker, 1993; (Jones, 1991; Schipper, 1989; Was and Zimmerman, 1978; 2002) Was and Zimmerman (1978) (2002) - 1 -
? 1-1 - 2 -
1-1 - 3 -
Davidson, Sickney, and Weil (1987) principles, GAAP) (generally accep accouning Schipper (1989) (GAAP) - 4 -
Healy and Wahlen (1999) Was and Zimmerman (1978) (posiive accouning heory) : (he bonus plan hypohesis) (he deb covenan hypohesis) 3. (he poliical cos hypohesis) ( ) Healy (1985) ( ) (big bah) - 5 -
(2009) ( ) DeFond and Jiambalvo (1994) Sweeney(1994) (2002) ( ) - 6 -
Jones (1991) (1992) Jones (1991) Cahan ( ) (Jones, 1991) (GAAP) ( ) - 7 -
( ) : (Healy, 1995), (DeAngelo, 1986; Dechow, Sloan, and Sweeney, 1995; Healy, 1985; Jones, 1991; Kohari, Leone, and Wasley, 2005) ( )Healy model Healy (1995) Healy 2-1 2-2 NDA TA / T (2-1) DA TA NDA (2-2) - 8 -
NDA : DA : TA : T: 1, 2, 3 T T: ( ) DeAngelo model DeAngelo (1986) Healy (1985) 2-4 2-3 NDA (2-3) TA 1 DA TA NDA (2-4) ( ) Jones Model NDA : DA : TA : : Jones (1991) Healy (1995) Deangelo (1986) Jones model - 9 -
2-5 2-6 2-7 NDA 1/ A ) ( REV / A ) ( PPE / A ) (2-5) 1( 1 2 1 3 1 NDA ˆ (1/ A ) ˆ ( REV / A ) ˆ ( PPE / A ) (2-6) 1 1 2 1 3 1 DA TA / A NDA (2-7) 1 NDA : A 1: REV : PPE : DA : TA : ˆ ˆ : 1 ˆ 2 3 ( )modified Jones model Dechow, e al., (1995) Jones model 2-8 2-9 2-10 NDA 1/ A ) ( REV REC )/ A ( PPE / A ) (2-8) 1( 1 2 1 3 1 NDA ˆ (1/ A ) ˆ ( REV REC ) / A ˆ ( PPE / A ) (2-9) 1 1 2 1 3 1-10 -
DA TA / A NDA (2-10) 1 NDA : A 1: REV : PPE : REC : DA : TA : ˆ ˆ : 1 ˆ 2 3 ( ) modified Jones model Jones model modified Jones model (Dechow e al.,1995; Guay, Kohari, and Was, 1996) Kohari e al., (2005) modified Jones model ROA) 2-11 2-12 Jones model (reurn on asse, NDA ˆ (1/ A ) ˆ 1 2[( REV REC ) / A ˆ ( PPE / A ˆ ROA ) 1 1 3 1 4 ] (2-11) DA TA / A NDA (2-12) 1-11 -
NDA : A 1: REV : PPE : REC : ROA : DA : TA : ˆ ˆ : 1 ˆ 2 3 ( ) (performance-mached approach) Kohari e al., (2005) Jones model Kohari e al., (2005) modified Ball and Brown (1968) - 12 -
Ball and Brown (1968) Beaver (1966) Ball and Brown (1968), performance index, API) 1946 1965 261 (abnormal API API API Ball and Brown (1968) (Sco, 2003) (slope coefficien) 2-13 2-14 - 13 -
2-15 CAR i 0 1UE i i (2-13) CAR i AR i T 1 (2-14) UE i Ei Ei, 1 (2-15) CAR i : i AR i : i UE i : i 0 : 1 : E i : i E : i -1 i, 1 Beaver e al., (1979) Ball and Brown (1968) 1965 1974 276 Ball and Brown (1968) 25 Spearman Freeman (1987) 1966 1982-14 -
sign rank (size effec) Wilcoxon Aisase (1985) 1969 1972 200 (over-he-couner marke, OTC) ( ) (size effec) Kormendi and Lipe (1987) 1947 1980 145 ERC ARIMA (2, 1, 0) Sronger and Walker (1993) 1971 1986 146 Collins, Maydew, and Weiss (1997) Ohlson (1995) 1953 1993 40-15 -
Collins e al. 2. 3. 4. 1. Xie (2001) Jones model 1971 1992 7,506 Chrisensen, Smih, and Suerke (2004) 1989 1992 41 (ERC) ERC Ghosh, Gu, and Jain (2005) 1980 2000 92,783 Defond e al., (2007) 1995 2002 53-16 - 53,197
Wilson (2008) 1997 2002 (1992) ERC 71 79 67 603 ERC ERC ERC (2001) 85 88 135 ERC - 17 -
ERC ERC ERC (2005) 1981 2003 pooled cross-secional disribuion approach 1. - 18 -
(mean-adjused reurns model) 2. (marke-adjused reurns model) 3. (marke model) 4.GARCH ( 2000) : ( ) (ex ane) : i 2-16 ( Rˆ 1 1 i ) R T i T E (2-16) 1 1 ( ) E Rˆ ) : i ( i R i : i R m ) 2-17 ( E( Rˆ i ) R m (2-17) ( ) E Rˆ ) : i ( i R i : i - 19 -
Markowiz, Sharpe i Ri (ordinary leas suaremodel, OLS) 2-18 2-19 R i 1 R (2-18) i m i R i : i R m: 1 : i i: i i : i E( Rˆ i ) R (2-19) i i m E Rˆ ) : i ( i R m: i : i i: i - 20 -
( )GARCH Engel (1982) auoregressive condiional heeroskedasicy esimaion, ARCH Bollerslev (1986) (generalized auoregressive condiional heeroscedasiciy, GARCH) ARCH (GARCH) GARCH(1,1) ARCH GARCH (1, 1) 2-20 2-21 2-22 R i 1 R (2-20) i m i ~ N(0, h ) (2-21) i / 1 i h i (2-22) 2 0 1hi, 1 r i, 1 R i : i R m: 1 : i i: i - 21 -
i : i 1 : -1 h i : i - 22 -
al., 2007) (Ball and Brown, 1968; Defond e (ERC) Choi and Salamon (1989) Holhansen and Verrecchia (1998) (noise) Penman and Zhang (2002) 1975 1997 38,540 (1994) 1983 1992 ERC ( ) ERC ERC (CAR) 2003 2004-23 - (2006)
(2008) 2006 2002 (2008) 1995 2006 12 Miller and Modigliani(1996) Ohlson(1995) - 24 -
, (ERC) - 25 -
Ball and Brown (1968) (Beaver, Clarke, and Wrigh, 1979; Choi and Salamon, 1989; Holhansen and Verrecchia, 1998; 1994 2008) (Was and Zimmerman, 1978; Schipper, 1989; Kohari e al., 2005; 2009) (2009) (1994) 1983 1992 DeAngelo (1986)? 2002 2006 (2008) - 26 -
( )? H 1 H 2 2004 2008 (Taiwan Economic Journal, TEJ) 3,629 395 26 31 165 3,012 ( DA > 0) ( - 27 -
DA < 0) 1,444 1,568 3,012 3-1 3,629 (395) (26) (31) (165) 3,012 3-2 2004 257 (17.80%) 265 (16.90%) 522 2005 273 (18.91%) 307 (19.58%) 580 2006 285 (19.73%) 331 (21.11%) 616 2007 284 (19.67%) 350 (22.32%) 634 2008 345 (23.89%) 315 (20.09%) 660 1,444 (100%) 1,568 (100%) 3,012-28 -
(CAR) (UE) (ADA) (UE ADA) (SG) (LEV) (OCF) (IH) (MH) (NB) (SIZE) (β) (CAR) (AR) 3-1 10 260 250 3-1 3-2 AR i R E Rˆ ) (3-1) i ( i CAR i AR i 1, (3-2) : CAR i : i AR i : i ( ) (UE) - 29 -
(ERC) Sronger and Walker(1993) 3-3 NI NI i i 1 UE i (3-3) TAi 1 ( ) (ADA) Jones model UE i : i NI i : i NI i 1 : i -1 TA i 1: i Kohari e al., (2005) modified ( ) (UE ADA) ( ) (SG) (2007) ( ) (LEV) - 30 -
Dhaliwal (1991) ( ) (OCF) (Becker e al., 1998; Dechow e al., 1995;) ( ) (IH) 1999) ( ) (MH) ( 2008) ( Jenson and Meckling (1976) ( ) (NB) ( 2002) ( ) (SIZE) - 31 -
(Aiase, 1985; Freeman, 1987) ERC ( ) ( ) Kohari, 1989) ERC (Collins and - 32 -
3-3 CAR UE ADA Kohari e al. (2005) Modified Jones Model ( ) UE ADA UE ADA SG LEV OCF IH MH NB SIZE i - 33 -
Ryburn, 1987; Gelb and Zarowin, 2002) 3-4 ERC (Aiase, 1985; Collins, Kohari, and 3-4 CARij 0 1UEij 2 ADAij 3UEij ADAij 4SGij 5 6OCFij 7IH ij 8MH ij 9NBij 10 11 ij ij LEV SIZE ij ij (3-4) CAR ij : i j UE ij : i j ADA ij : i j UEij ADA ij : i j SG ij : i j LEV ij : i j OCF ij : i j IH ij : i j MH ij : i j NB ij : i j SIZE : i j ij : i j - 34 -
ij : i j - 35 -
4-2 Panel B 4-2 Panel A 4-1 4-2 4-1 ( ) 2 6 (CAR_-2, 6) -2.000 1 6 (CAR_-1, 6) -1.886 (UE) 0.006 0.080 : (2008) (SG) 1.102 (LEV) 0.369 (COF) 0.088 (MH) (IH) 2.565(%) 33.589(%) 1.9 (SIZE) 15.010 ( ) 0.934 ( ) - 36 -
4-1 (N=3,012) Q1 Q2 Q3 CAR(-2,6) -1.886 9.572-58.38-6.588-2.040 2.818 45.28 CAR(-1,6) -2.000 10.043-62.78-6.998-2.210 2.965 49.97 UE 0.006 0.120-0.66-0.050 0.000 0.040 2.45 ADA 0.080 0.082 0.00 0.030 0.060 0.110.81 SG 0.102 0.533-1.00-0.100 0.060 0.230 19.05 LEV 0.369 0.166 0.02 0.240 0.360 0.480.98 OCF 0.088 0.138-1.67 0.020 0.08 0.160 1.34 MH 2.565 3.154 0.00 0.400 1.420 3.660 27.81 IH 33.589 20.910 0.00 17.145 29.880 47.565 97.97 NB 1.898 1.514 0.00 0.000 2.000 3.000 7.00 SIZE 15.010 1.342 11.71 14.080 14.820 15.650 20.29 B 0.934 0.348-1.11 0.710 0.940 1.160 3.29 CAR UE ADA ( ) UE ADA ( ) SG LEV OCF MH IH NB SIZE β - 37 -
Panel A 4-2 (N=1,444) Q1 Q2 Q3 CAR(-2,6) -1.879 9.775-54.76-6.897-2.073 0.861 45.28 CAR(-1,6) -2.001 10.198-60.42-7.133-2.420 2.971 49.97 UE 0.012 0.136-0.66-0.042 0.004 0.047 2.45 ADA 0.0801 0.085 0.00 0.024 0.055 0.108 0.81 SG 0.110 0.679-1.00-0.105 0.045 0.230 19.05 LEV 0.377 0.16778 0.02 0.246 0.379 0.488 0.98 OCF 0.043 0.136-1.67-0.011 0.046 0.108 0.58 MH 2.616 3.288 0.00 0.410 1.440 3.645 27.75 IH 32.501 19.777 0.00 17.058 29.100 45.840 97.1 NB 1.858 1.523 0.00 0.000 2.000 3.000 7.00 SIZE 14.925 1.216 12.21 14.101 14.757 15.491 19.94 B 0.927 0.348-1.11 0.709 0.934 1.140 3.29 Panel B (N=1,568) Q1 Q2 Q3 CAR(-2,6) -1.892 9.384-58.38-6.377-1.982 2.756 43.87 CAR(-1,6) -1.992 9.901-62.78-6.896-2.051 2.966 47.47 UE -0.000 0.103-0.64-0.048-0.002 0.041 0.60 ADA 0.080 0.078 0.00 0.028 0.057 0.105 0.72 SG 0.094 0.348-1.00-0.091 0.067 0.224 5.30 LEV 0.360 0.165 0.03 0.228 0.354 0.475 0.97 OCF 0.128 0.127-0.35 0.049 0.119 0.193 1.34 MH 2.518 3.027 0.00 0.400 1.410 3.680 27.81 IH 34.591 21.860 0.23 17.213 31.080 49.580 97.97 NB 1.935 1.506 0.00 0.000 2.000 3.000 7.00 SIZE 15.089 1.444 11.71 14.066 14.893 15.781 20.29 B 0.940 0.349-0.96 0.718 0.946 1.172 2.16 CAR UE ADA ( ) UE ADA ( ) SG LEV OCF MH IH NB SIZE β - 38 -
4-3 4-4 Pearson 4-3 4-4 4-1 (UE) (LEV) (COF) (MH) (IH) (NB) (SIZE) (CAR_-2, 6) (CAR_-1, 6) (ADA) (COF) (r=-2.66) (SIZE) (ADA) (r=-0.076) - 39 -
4-3 Pearson Panel A (N=3012) CAR_-2, 6 1 CAR_-2, 6 CAR_-1, 6 UE ADA SG LEV OCF MH IH BN SIZE β CAR_-1, 6 0.967** 1 UE 0.102** 0.104** 1 ADA -0.025-0.021 0.109** 1 SG 0.004 0.004 0.242** 0.155** 1 LEV 0.057** 0.060** -0.018-0.013-0.086** 1 OCF 0.110** 0.114** 0.055* -0.266** -0.103** 0.134** 1 MH 0.037* 0.039* 0.054** 0.014-0.009 0.071** 0.014 1 IH 0.053** 0.051** 0.074** 0.105** 0.108** 0.038* 0.184** -0.169** 1 NB 0.064** 0.064** 0.021 0.059** 0.042-0.003 0.066** -0.025 0.189** 1 SIZE 0.061** 0.065** -0.006-0.076** 0.085** -0.108** 0.102** -0.180** 0.422** 0.039 1 β 0.006 0.013-0.034-0.018 0.002 0.020 0.143** -0.128** 0.106** 0.028 0.400** 1 1. CAR UE ADA ( ) UE ADA ( ) SG LEV OCF MH IH NB SIZE β 2. ** 0.01 ( ) * 0.05 ( ) - 40 -
(N=1,444 ) (N=1,568 ) 4-4 Pearson CAR_-2, 6 CAR_-1, 6 UE DA SG LEV OCF MH IH BN SIZE β CAR_-2, 6 1 0.967** 0.160** -0.072** 0.014 0.051* 0.142** 0.042 0.077** 0.044 0.088** 0.041 CAR_-1, 6 0.968** 1 0.163** -0.072** 0.001 0.053* 0.130** 0.047 0.077** 0.044 0.091** 0.045 UE 0.057* 0.057* 1 0.016 0.472** 0.025 0.246** 0.054* 0.117** -0.014 0.015 0.002 DA 0.022 0.029 0.181** 1 0.133** -0.003 0.290** 0.017 0.130** 0.067** -0.058* -0.002 SG -0.001 0.006 0.148** 0.176** 1-0.111** 0.155** 0.018 0.174** 0.004 0.120** 0.091** LEV 0.063* 0.067* -0.047-0.022-0.078** 1 0.232** 0.015 0.050* 0.009-0.104** 0.014 OCF 0.119** 0.115** 0.116** 0.001-0.018 0.174** 1 0.051* 0.242** 0.120** 0.126** 0.159** MH 0.039 0.038 0.037-0.006-0.011 0.092** 0.014 1-0.185** 0.056* -0.164** -0.090** IH 0.025 0.021 0.042 0.079** 0.081** 0.026 0.106** -0.160** 1 0.109** 0.482** 0.118** NB 0.063(*) 0.055* -0.024 0.043 0.021-0.028 0.064* 0.098** 0.159** 1-0.082** -0.027 SIZE 0.027 0.034-0.021-0.100** 0.077** -0.118** 0.042-0.155** 0.334** -0.088** 1 0.421** β -0.030-0.020-0.062* -0.034-0.047 0.025 0.130** -0.117** 0.091** 0.014 0.375** 1 1. CAR UE ADA UE ADA SG LEV OCF MH IH NB SIZE β 2. ** 0.01 ( ) * 0.05 ( ) 3. 4. - 41 -
daa (CAR) ( ) 3 (=-3) 10 =10) (UE) (ADA) (UE ADA) (SG) (LEV) (OCF) (MH) (IH) (NB) (SIZE) (β) panel 4-5 panel A 4-5 panelb 4-5 panelc 2 6 (CAR_-2, 6) 1 6 (CAR_-1, 6) 4-6 F OLS (F=1.17, p=0.017) Hausman (H=23.52, p=0.015) (UE) (CAR_-2, 6) ( =10.059 p=0.003) - 42 -
(Kormendi and Lipe, 1987 2005) (ADA) (CAR_-2, 6) ( =9.892 p=0.055) (UE ADA) (CAR_-2, 6) ( =-33.917 p=0.075 ) ( =9.417 p=0.003 ) (OCF) (CAR_-2, 6) =-0.169 p=0.000 ) (IH) ( - 43 -
4-5 Panel A p (N=3,012) UE ADA UE ADA CAR_-0, 8 0.093 0.000 0.005 Fixed effecs CAR_0, 10 0.095 0.000 0.000 Fixed effecs CAR_-1, 6 0.028 0.028 0.016 Fixed effecs CAR_-1, 7 0.031 0.010 0.035 Fixed effecs CAR_-1, 8 0.022 0.001 0.019 Fixed effecs CAR_-1, 9 0.031 0.000 0.005 Fixed effecs CAR_-1, 10 0.025 0.000 0.003 Fixed effecs CAR_-2, 6 0.025 0.031 0.021 Fixed effecs CAR_-2, 7 0.027 0.012 0.039 Fixed effecs CAR_-2, 8 0.019 0.002 0.023 Fixed effecs CAR_-2, 9 0.027 0.000 0.007 Fixed effecs CAR_-2, 10 0.022 0.000 0.003 Fixed effecs Panel B (N=1,444) UE ADA UE ADA CAR_-1, 6 0.005 0.044 0.103 Fixed effecs CAR_-2, 6 0.003 0.055 0.075 Fixed effecs CAR_-3, 6 0.000 0.026 0.020 Fixed effecs Panel B (N=1,568) UE ADA UE ADA CAR_0, 6 0.059 0.004 0.000 Random effecs CAR_0, 7 0.071 0.009 0.000 Random effecs CAR_-1, 3 0.042 0.020 0.021 Random effecs CAR_-1, 4 0.026 0.010 0.011 Random effecs CAR_-1, 5 0.042 0.004 0.002 Random effecs CAR_-1, 6 0.012 0.002 0.000 Random effecs CAR_-1, 7 0.016 0.004 0.000 Random effecs CAR_-1, 8 0.045 0.006 0.000 Random effecs CAR_-1, 9 0.029 0.006 0.000 Random effecs CAR_-2, 6 0.032 0.000 0.000 Random effecs CAR_-2, 7 0.038 0.002 0.000 Random effecs CAR UE ADA UE ADA - 44 -
OLS F (F=1.30, p=0.000) Hausman (H=14.93, p=0.186) (UE) (CAR_-2, 6) ( =7.564 p=0.032) (Kormendi and Lipe, 1987 2005) (ADA) (CAR_-2, 6) ( =-11.444 p=0.000 ) (UE ADA) (CAR_-2, 6) ( =79.267 p=0.000) ( =-2.555 p=0.002) ( ) (OCF) (CAR_-2, 6) ( =7.833 p=0.000) ( =0.145 p=0.099) (MH) ( =0.294 p=0.094 ) (NB) - 45 -
p=0.010) ( =0.610 CAR_-1, 6 4-6 CAR_-2, 6 ( =-29.846 p=1.104) ( =76.419 p=0.000) CAR_-2, 6-46 -
CAR (-2, 6) CAR (-1, 6) p p p p p p consan -12.376-3.736 0.000-12.328-3.873 0.000 UE 4.960 2.247.0246 10.059 2.930 0.003 7.564 2.145 0.032 4.577 2.199 0. 028 9.310 2.812 0.005 8.449 2.514 0.012 ADA -5.983-2.157 0.031 9.892 1.920 0.055-11.444-3.381 0.000-5.809-2.197 0.028 10.008 2.014 0.044-10.111-3.131 0.002 UE ADA 30.459 2.315 0.021-33.917-1.784 0.075 79.267 3.733 0.000 30.097 2.400 0.016-29.846-1.628 0.104 76.419 3.774 0.000 SG -0.963-2.392 0.017-0.107-0.217 0.828-2.555-3.091 0.002-0.933-2.433 0.015 0.051 0.107 0.915-2.955-3.749 0.000 LEV 0.122 1.199 0.231 0.080 0.454 0.650 0.070 0.723 0.469 0.125 1.290 0.197 0.089 0.524 0.600 0.080 0.858 0.391 OCF 2.212 1.227 0.220 9.417 3.010 0.003 7.833 3.413 0.000 2.104 1.225 0.221 10.113 3.353 0.000 6.094 2.778 0.006 MH -0.028-0.190 0.850 0.182 0.720 0.472 0.145 1.649 0.099 0.021 0.146 0.884 0.135 0.556 0.578 0.164 1.948 0.051 IH -0.048-2.007 0.045-0.169-4.082 0.000 0.008 0.555 0.579-0.036-1.571 0.116-0.145-3.617 0.000 0.009 0.672 0.502 BN 0.364 1.241 0.215 0.396 0.816 0.415 0.294 1.673 0.094 0.213 0.764 0.445 0.275 0.588 0.557 0.284 1.684 0.092 SIZE 1.196 1.468 0.142 1.829 1.382 0.167 0.610 2.584 0.010 0.721 0.950 0.342 1.864 1.460 0.144 0.604 2.667 0.008 β -2.004-2.484 0.013-2.161-1.605 0.109-0.172-0.213 0.831-1.676-2.179 0.029-1.644-1.266 0.206 0.017 0.022 0.982 N 3,012 1,444 1,568 3,012 1,444 1,568 F(p) 1.37 (0.002) 1.17(0.017) 10.42(0.000) 1.37 (0.002) 1.14(0.038) 10.90(0.000 R 2 0.295 0.483 0.072 0.295 0.478 0.075 Adj R 2 0.080 0.07 0.065 0.080 0.059 0.068 Model Selecion Fixed effecs Fixed effecs Radom effecs Fixed effecs Fixed effecs Radom effecs CAR UE ADA UE ADA SG LEV OCF MH IH NB SIZE β - 47 -
Panel daa 2004 2008 6-48 -
- 49 - ERC
(1999) (2007) (2005) (2005) (2008) (2002) (2008) (1992) - 50 -
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