원문정보
초록
영어
With a total of 235 sample firms covering from 1966 to 2009 we investigate the effect of thedifference of opinion on cross-sectional variations in abnormal returns of the firm – the firm which experiences temporal surges in the demand for its stocks immediately following the announcement of a corporate spin off. The proxies for the measurements of difference of opinion are abstracted from trading volume and concomitant changes in abnormal returns. Our findings are: (i) The enhancement of value of the firm is the predominant motivation behind corporate spinoff ; (ii)the firm size effect is prominent in wealth gain in that small firms realize much greater post-spinoff value of the firm than large firms; (iii)Whether volumebased differences of investor opinionsare compared with those of the “liquidity effects” or other proxy measures, such as “analysts’ earnings forecasts, ” “abnormal return patterns” and “ownership dispersions,” volume turnover statistics are the reliable proxy measure mirroring the heterogeneous investor reactions to a spinoff news.
목차
1. Introduction
2. Related Literature Review
3. Data and Methodology
3.1. Data and Sample Selection
3.2. Sample Distribution
3.3. Descriptive statistics of the sample by year-1 and ex-date month
3.4. Value gain and the size effect
4. Characteristics of the Sample Firms
4.1. Trend in trading volume
5. Measurements for Difference of Opinion
6. The Volume-Based Measures of DO vs. Liquidity Proxies
7. The Volume-Based Measures of DO vs. the Extant DO Proxies
8. Market Reactions to the Spinoff Announcement
9. Difference of Opinion and Market Reaction
9.1. The on-event level of DO and abnormal return
9.2. Disagreement shock and abnormal return
10. Concluding Remarks
References
Table