CONCLUSIONS - 公司治理與競爭者公司破產宣告效果

This paper examines the value and equal weighted SIC-code based surviving firms’

portfolios around the bankruptcy announcement date during 1990 to 2006. The significantly negative cumulative abnormal returns show that contagion effect dominates during 1990 to 2000, while 2001-2003 is a transition period when neither contagion nor competitive effect dominates. Finally, the significantly positive cumulative abnormal returns display competitive effect dominates during 2004 to 2006. The inconsistency of this result may be affected by the market adjustment during 2000 to 2003, for some large scale defaults of companies as Enron, negative event as 911 attacks, and the internet bubble. Most of the bankruptcy events happened during this period, and thus eliminate the inefficient firms from the industry, which resulted in the competitive effect dominated period of 2004 to 2006.

Moreover, I examine whether corporate governance mechanisms, especially the market for corporate control, affect the stock price performance when a firm in the same industry announce for bankruptcy. The hypothesis is firms of more anti-takeover provisions (worse corporate governance with higher GIM and BCF index) will display more negative abnormal returns when contagion effect dominates, and less positive abnormal returns when competitive effect dominates. To dress in another way, corporate governance index should be of negative coefficient to cumulative abnormal returns.

The regression analysis shows consistent but insignificant result in GIM index regression that firms of managers protected by more anti-takeover provisions deed face significantly lower cumulative abnormal returns while competing firms bankrupt. The result may be affected by the sample restriction, for bankruptcy announcements are clustering in some of the industry and firms, and it can also be that GIM and BCF index has a stronger association with long-run stock returns and firm value while CAR around bankruptcy announcement is the short-term stock returns and is affected by more other factors.

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Figure I Diagrams of cumulative abnormal return for democracy and dictatorship portfolios

The first diagram is the cumulative abnormal return for democracy portfolio (GIM index less than 5) while the second diagram is for dictatorship portfolio (GIM index more than 14) from 1990 to 2006. The event date is the date recorded in the financial restructuring in SDC database where event day 0 is the bankruptcy

announcement date. The X axis is the event date for 11-day window, and the Y axis is the cumulative abnormal return for 11-day window.

Table I Number of events and portfolios formed for each SIC code

The first and second columns are the original data from SDC database. The first column is the number of bankruptcy events recorded and the second column is the number of SIC codes with bankruptcy announcements each year. Originally, there are 2245 bankruptcy announcement events and 1471 SIC codes with bankruptcy announcements of firms within industry. After deleting SIC industry without other surviving firms in the industry, the sample consists of 2145 SIC code portfolios and 1379 different SIC codes involved for all of the bankruptcy announcements during 1990 to 2006. The table also shows the distribution of bankruptcy events each year and the SIC codes involved

Table II Number of Firms Matched of GIM-index and BCF-index Portfolios

Panel A reports the distribution of GIM governance index and bankruptcy surviving matched firms’ events numbers and the number of individual firms involved in each GIM index portfolios. The first row is the events number while the second row is the individual number of firms in each in each GIM-index portfolios. Panel B shows the distribution based on BCF-index categories. The first row is the number of events while the second row is the individual firms involved.

Panel A: Sample distribution based on GIM-index categories

Portfolios based on GIM index G<=5 G=6 G=7 G=8 G=9 G=10 G=11 G=12 G=13 G>=14 Total Number of firm events

861 1004 1271 1670 1681 1505 1346 794 519 433 11084

Number of firms involved

212 183 212 250 211 197 159 88 58 50

Panel B: Sample distribution based on BCF-index categories

Portfolios based on BCF index B=0 B=1 B=2 B=3 B=4 B=5 B=6 Total

Number of firm events 956 2264 2985 2836 1620 364 59 11084

Number of firms involved 218 351 424 370 207 44 6

Table III Equal-weighted abnormal and cumulated abnormal return (1990-2001)

equal-weighted portfolio of firms with the same four-digit SIC code for which returns are available form the CRSP database. The first column of each observation is the abnormal return or cumulated abnormal return, and the second column is the two-sided T-test to indicate the average is significantly different from zero. Letters in boldface means the AR or CAR is significantly different from zero. Panel A shows the cumulated abnormal return for different event day window (11-day, 5-day, 3-day, and 2-day);

Panel B shows the abnormal return for each day of the 11 day window.

a. Cumulated abnormal return for equal-weighted SIC portfolio

obs 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001

(-5,+5) -0.01641 -0.00289 -0.01426 -0.00430 0.00474 -0.00399 -0.00276 -0.00300 -0.00457 0.00094 -0.00547 0.00577

-2.89 -0.49 -1.37 -0.43 0.77 -0.68 -0.42 -0.36 -0.71 0.19 -0.82 1.41

(-2,+2) -0.00566 -0.00043 -0.00780 -0.00368 0.00550 -0.00510 -0.00785 -0.00437 -0.00515 -0.00238 -0.00600 -0.00092

-1.48 -0.11 -1.11 -0.54 1.32 -1.29 -1.75 -0.78 -1.19 -0.70 -1.34 -0.33

(-1,+1) -0.00773 -0.00054 -0.00501 -0.00443 0.00434 -0.00350 -0.01060 -0.00404 -0.00271 -0.00763 -0.00546 -0.00008

-2.60 -0.18 -0.92 -0.85 1.35 -1.15 -3.06 -0.93 -0.81 -2.89 -1.59 -0.04

(-1,0) -0.00693 0.00149 -0.00300 -0.00386 0.00381 0.00044 -0.00490 -0.00425 -0.00269 -0.00353 -0.00297 -0.00009

-2.86 0.59 -0.67 -0.90 1.45 0.18 -1.73 -1.20 -0.98 -1.64 -1.06 -0.05

29 b. Abnormal return for equal weighted SIC portfolio

obs 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001

-5

-0.00030 -0.00168 0.00029 0.00001 0.00054 0.00094 -0.00071 0.00595 0.00214 0.00092 0.00244 0.00185

-0.18 -0.94 0.09 0.00 0.29 0.54 -0.36 2.37 1.10 0.60 1.22 1.50

-4

-0.00141 -0.00339 -0.00178 -0.00049 -0.00014 -0.00104 0.00317 -0.00275 -0.00250 -0.00088 -0.00217 0.00004

-0.82 -1.91 -0.56 -0.16 -0.07 -0.59 1.59 -1.10 -1.29 -0.58 -1.04 0.04

-3 -0.00327 0.00070 -0.00092 0.00564 -0.00069 -0.00027 -0.00040 -0.00081 -0.00135 0.00324 -0.00015 -0.00043

-1.91 0.39 -0.29 1.86 -0.37 -0.16 -0.20 -0.32 -0.70 2.12 -0.07 -0.34

-2 0.00399 -0.00010 -0.00202 -0.00056 -0.00071 0.00249 0.00027 0.00132 -0.00246 -0.00221 -0.00082 -0.00149

2.33 -0.06 -0.64 -0.19 -0.38 1.41 0.13 0.53 -1.27 -1.45 -0.40 -1.20

-1

-0.00161 0.00096 0.00078 -0.00015 0.00248 0.00064 -0.00090 -0.00199 -0.00212 -0.00238 -0.00139 -0.00002

-0.94 0.54 0.25 -0.05 1.33 0.36 -0.45 -0.79 -1.09 -1.56 -0.70 -0.02

0 -0.00533 0.00053 -0.00378 -0.00370 0.00133 -0.00020 -0.00401 -0.00226 -0.00057 -0.00115 -0.00158 -0.00007

-3.11 0.30 -1.20 -1.22 0.72 -0.11 -2.01 -0.90 -0.30 -0.76 -0.80 -0.05

30 b. Abnormal return for equal weighted SIC portfolio (Con.)

obs 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001

-0.00080 -0.00203 -0.00201 -0.00058 0.00053 -0.00394 -0.00570 0.00021 -0.00002 -0.00410 -0.00249 0.00001

-0.47 -1.15 -0.64 -0.19 0.29 -2.24 -2.84 0.08 -0.01 -2.69 -1.25 0.01

-0.00191 0.00022 -0.00077 0.00132 0.00187 -0.00409 0.00249 -0.00166 0.00002 0.00745 0.00027 0.00065

-1.11 0.12 -0.25 0.44 1.01 -2.32 1.24 -0.66 0.01 4.88 0.14 0.53

0.00130 -0.00027 -0.00175 -0.00463 -0.00475 0.00226 -0.00054 0.00082 0.00167 0.00174 0.00034 0.00113

0.76 -0.15 -0.56 -1.50 -2.55 1.28 -0.27 0.33 0.86 1.14 0.17 0.91

4 -0.00576 0.00053 -0.00220 0.00288 0.00103 -0.00055 0.00050 -0.00130 0.00003 -0.00035 0.00032 0.00037

-3.36 0.30 -0.70 0.95 0.56 -0.31 0.25 -0.52 0.01 -0.23 0.16 0.30

-0.00132 0.00164 -0.00010 -0.00404 0.00324 -0.00023 0.00307 -0.00053 0.00060 -0.00134 -0.00025 0.00372

-0.77 0.93 -0.03 -1.34 1.74 -0.13 1.53 -0.21 0.31 -0.88 -0.13 3.01

Table IV Equal-weighted abnormal and cumulated abnormal return (2002-2006)

The abnormal return (AR) and cumulated abnormal return (CAR) is the market model residual. The sample includes all bankruptcy announcement industries with more than zero surviving firms between January 1990 and December 2006 for a four-digit SIC code is available from the COMPUSTAT. An industry portfolio is an equal-weighted portfolio of firms with the same four-digit SIC code for which returns are available form the CRSP database. The first column of each observation is the abnormal return or cumulated abnormal return, and the second column is the two-sided T-test to indicate the average is significantly different from zero. Letters in boldface means the AR or CAR is significantly different from zero. Panel A shows the cumulated abnormal return for different event day window (11-day, 5-day, 3-day, and 2-day); Panel B shows the abnormal return for each day of the 11 day window.

a. Cumulated abnormal return for equal-weighted SIC portfolio

obs 2002 2003 2004 2005 2006 1990-2006 1990-2000 1990-2001 1990-2003 2001-2003 2003-2006 2004-2006 (-5,+5) 0.00048 0.00198 0.00157 0.00537 0.00721 -0.00072 -0.00561 -0.00191 -0.00189 0.00402 0.00325 0.00559

0.13 0.49 0.35 1.56 1.53 -0.50 -2.54 -0.98 -1.22 1.73 1.48 2.25

(-2,+2) 0.00362 0.00122 0.00424 0.00230 0.00440 -0.00116 -0.00447 -0.00302 -0.00222 0.00177 0.00260 0.00378

1.47 0.45 1.40 0.99 1.39 -1.19 -3.01 -2.31 -2.12 1.13 1.76 2.26

(-1,+1) 0.00182 0.00091 0.00295 0.00232 0.00148 -0.00161 -0.00479 -0.00326 -0.00246 0.00104 0.00137 0.00247

0.95 0.43 1.26 1.29 0.60 -2.15 -4.17 -3.22 -3.05 0.86 1.20 1.90

(-1,0) 0.00256 0.00057 0.00308 0.00089 -0.00024 -0.00075 -0.00258 -0.00188 -0.00124 0.00076 0.00088 0.00153

1.65 0.33 1.61 0.60 -0.12 -1.22 -2.75 -2.27 -1.87 0.77 0.94 1.44

32 b. Abnormal Return for equal-weighted SIC portfolio

obs 2002 2003 2004 2005 2006 1990-2006 1990-2000 1990-2001 1990-2003 2001-2003 2003-2006 2004-2006

-5

0.00019 -0.00057 -0.00241 0.00172 -0.00249 0.00067 0.00107 0.00123 0.00105 0.00073 -0.00076 -0.00072

0.17 -0.46 -1.78 1.65 -1.76 1.56 1.62 2.10 2.01 1.04 -1.15 -0.96

-4

-0.00026 0.00119 -0.00111 -0.00168 0.00168 -0.00061 -0.00158 -0.00095 -0.00090 0.00069 0.00046 -0.00039

-0.23 0.98 -0.82 -1.61 1.18 -1.39 -2.34 -1.61 -1.71 0.99 0.69 -0.52

-3 -0.00177 -0.00126 -0.00009 0.00041 0.00104 -0.00034 0.00009 0.00009 -0.00028 -0.00099 -0.00057 0.00032

-1.61 -1.03 -0.06 0.39 0.73 -0.79 0.14 0.15 -0.53 -1.42 -0.87 0.43

-2

0.00076 0.00062 0.00038 -0.00077 0.00212 -0.00040 -0.00048 -0.00057 -0.00064 -0.00008 0.00049 0.00040

0.69 0.50 0.28 -0.74 1.50 -0.91 -0.72 -0.98 -1.21 -0.12 0.75 0.53

-1 0.00184 0.00028 0.00032 -0.00058 -0.00056 -0.00009 -0.00065 -0.00056 -0.00014 0.00050 0.00009 -0.00027

1.67 0.23 0.23 -0.56 -0.40 -0.21 -0.97 -0.95 -0.27 0.72 0.14 -0.36

0.00073 0.00028 0.00277 0.00147 0.00032 -0.00066 -0.00193 -0.00132 -0.00109 0.00026 0.00079 0.00180

0.66 0.23 2.04 1.41 0.23 -1.52 -2.91 -2.25 -2.09 0.37 1.20 2.40

33 b. Abnormal Return for equal-weighted SIC portfolio (Con.)

obs 2002 2003 2004 2005 2006 1990-2006 1990-2000 1990-2001 1990-2003 2001-2003 2003-2006 2004-2006

-0.00075 0.00034 -0.00013 0.00143 0.00173 -0.00086 -0.00221 -0.00139 -0.00123 0.00028 0.00049 0.00093

-0.68 0.28 -0.10 1.37 1.22 -1.99 -3.34 -2.37 -2.34 0.40 0.74 1.25

0.00104 -0.00030 0.00091 0.00075 0.00080 0.00085 0.00079 0.00081 0.00088 0.00081 0.00073 0.00092

0.95 -0.24 0.67 0.72 0.56 1.96 1.20 1.39 1.68 1.16 1.11 1.22

-0.00052 0.00047 0.00194 0.00170 0.00213 0.00028 -0.00005 0.00018 0.00001 -0.00001 0.00122 0.00255

-0.47 0.39 1.43 1.63 1.50 0.65 -0.07 0.31 0.01 -0.01 1.85 3.41

0.00132 0.00176 -0.00052 0.00168 0.00027 0.00046 -0.00022 0.00003 0.00037 0.00117 0.00080 0.00042

1.20 1.44 -0.38 1.61 0.19 1.06 -0.33 0.05 0.70 1.68 1.22 0.57

5 -0.00210 -0.00084 -0.00047 -0.00075 0.00018 -0.00003 -0.00044 0.00054 0.00009 0.00067 -0.00050 -0.00038

-1.91 -0.69 -0.35 -0.72 0.13 -0.06 -0.67 0.92 0.17 0.95 -0.76 -0.51

Table V Value-weighted abnormal and cumulated abnormal return (1990-1999)

value-weighted portfolio of firms with the same four-digit SIC code for which returns are available form the CRSP database. The first column of each observation is the abnormal return or cumulated abnormal return, and the second column is the two-sided T-test to indicate the average is significantly different from zero. Letters in boldface means the AR or CAR is significantly different from zero. Panel A shows the cumulated abnormal return for different event day window (11-day, 5-day, 3-day, and 2-day);

Panel B shows the abnormal return for each day of the 11 day window.

a. cumulated abnormal return for value-weighted SIC portfolio

obs 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

(-5,+5)

-0.00601 0.012953 0.01295 0.00138 -0.00182 0.00532 0.00358 0.00566 -0.004535 0.0016531

-1.18 2.57 1.81 0.15 -0.29 1.08 0.58 0.79 -0.78 0.29

(-2,+2)

-0.00123 0.00537 0.00537 -0.00147 0.00205 -0.00291 0.00080 0.00268 0.00056 -0.00197

-0.36 1.58 1.12 -0.24 0.49 -0.88 0.19 0.56 0.14 -0.52

(-1,+1)

-0.00149 0.00511 0.00511 0.00044 0.00081 0.00023 -0.00189 0.00295 0.00063 -0.00542

-0.56 1.94 1.37 0.09 0.25 0.09 -0.58 0.79 0.21 -1.85

(-1,0)

-0.00094 0.00305 0.00305 -0.00171 0.00151 0.00134 -0.00050 0.00046 0.00130 -0.00171

-0.43 1.42 1.00 -0.45 0.57 0.64 -0.19 0.15 0.52 -0.71

35 b. abnormal return for value-weighted SIC portfolio

obs 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

-5

-0.00083 -0.00061 -0.00170 -0.00277 0.00122 -0.00016 -0.00476 0.00389 -0.00169 0.00316

-0.54 -0.40 -0.57 -1.02 0.65 -0.11 -2.54 1.80 -0.96 1.86

-4

-0.00006 0.00044 0.00045 0.00171 -0.00226 -0.00104 0.00270 -0.00111 -0.00251 0.00024

-0.04 0.29 0.15 0.64 -1.21 -0.70 1.45 -0.51 -1.43 0.14

-3

-0.00157 -0.00045 -0.00067 0.00380 0.00024 0.00741 0.00232 -0.00278 -0.00059 0.00331

-1.02 -0.29 -0.23 1.41 0.13 4.99 1.24 -1.29 -0.34 1.95

-2

0.00043 0.00100 -0.00432 -0.00152 -0.00171 -0.00125 0.00184 0.00212 -0.00177 -0.00095

0.28 0.66 -1.45 -0.56 -0.91 -0.84 0.99 0.98 -1.01 -0.56

-1

-0.00148 0.00138 0.00307 -0.00046 0.00341 0.00011 0.00139 -0.00008 -0.00018 -0.00166

-0.97 0.91 1.03 -0.17 1.82 0.07 0.74 -0.04 -0.10 -0.98

0.00055 0.00167 -0.00214 -0.00125 -0.00190 0.00123 -0.00189 0.00053 0.00149 -0.00005

0.36 1.10 -0.72 -0.46 -1.02 0.83 -1.01 0.25 0.85 -0.03

36 b. abnormal return for value-weighted SIC portfolio (Con.)

obs 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

-0.00056 0.00206 0.00058 0.00215 -0.00070 -0.00111 -0.00139 0.00249 -0.00067 -0.00371

-0.36 1.36 0.19 0.80 -0.38 -0.75 -0.74 1.16 -0.38 -2.20

-0.00016 -0.00073 -0.00120 -0.00040 0.00295 -0.00189 0.00084 -0.00239 0.00170 0.00441

-0.11 -0.48 -0.40 -0.15 1.58 -1.27 0.45 -1.11 0.96 2.60

0.00087 0.00234 0.00195 -0.00238 -0.00415 -0.00031 -0.00022 0.00122 -0.00147 -0.00064

0.56 1.54 0.66 -0.88 -2.22 -0.21 -0.12 0.56 -0.84 -0.38

-0.00138 0.00375 -0.00092 0.00317 0.00029 0.00129 0.00407 0.00094 0.00112 -0.00085

-0.90 2.47 -0.31 1.18 0.16 0.87 2.17 0.44 0.64 -0.50

5 -0.00181 0.00210 -0.00449 -0.00068 0.00079 0.00104 -0.00133 0.00081 0.00005 -0.00159

-1.18 1.39 -1.51 -0.25 0.42 0.70 -0.71 0.37 0.03 -0.94

Table VI Value-weighted abnormal and cumulated abnormal return (2000-2006)

Panel B shows the abnormal return for each day of the 11 day window.

a. Cumulated abnormal return for value-weighted SIC portfolio

obs 2000 2001 2002 2003 2004 2005 2006 1990-2006

(-5,+5)

0.00145 0.00995 0.00273 0.00346 0.00586 0.00664 0.00352 0.0034671

0.26 2.48 0.67 0.80 1.25 1.71 0.67 2.45

(-2,+2)

-0.00212 0.00204 0.00463 0.00186 0.00754 0.00243 0.00327 0.000827

-0.57 0.75 1.68 0.64 2.40 0.93 0.93 1.07

(-1,+1) -0.00403 0.00320 0.00376 0.00101 0.00512 0.00084 -0.00049 0.001017

-1.39 1.52 1.77 0.45 2.10 0.42 -0.18 1.30

(-1,0)

-0.00266 0.00247 0.00421 0.00133 0.00338 -0.00004 0.00045 0.001321

-1.12 1.44 2.42 0.73 1.70 -0.02 0.20 1.38

38 b. Abnormal return for value-weighted SIC portfolio

obs 2000 2001 2002 2003 2004 2005 2006 1990-2006

-5

0.00336 0.00463 0.00043 -0.00018 -0.00177 0.00260 -0.00152 0.00110

2.00 3.83 0.35 -0.14 -1.26 2.23 -0.96 2.58

-4 -0.00116 0.00069 -0.00018 0.00218 0.00004 -0.00197 0.00093 0.00013

-0.69 0.57 -0.15 1.68 0.03 -1.69 0.59 0.29

-3

0.00042 -0.00023 -0.00107 -0.00002 -0.00060 -0.00011 0.00088 0.00034

0.25 -0.19 -0.87 -0.02 -0.43 -0.09 0.56 0.79

-2

-0.00005 -0.00160 0.00033 0.00029 0.00084 -0.00004 0.00146 -0.00036

-0.03 -1.32 0.27 0.22 0.60 -0.03 0.93 -0.85

-1

-0.00239 0.00148 0.00193 0.00159 0.00253 -0.00092 -0.00064 0.00057

-1.42 1.22 1.56 1.23 1.80 -0.79 -0.41 1.33

-0.00027 0.00099 0.00229 -0.00026 0.00085 0.00088 0.00109 0.00045

-0.16 0.82 1.86 -0.20 0.61 0.75 0.69 1.06

39 b. Abnormal return for value-weighted SIC portfolio (Con.)

obs 2000 2001 2002 2003 2004 2005 2006 1990-2006

-0.00137 0.00072 -0.00045 -0.00032 0.00174 0.00089 -0.00093 -0.00019

-0.82 0.60 -0.36 -0.25 1.23 0.76 -0.59 -0.44

0.00195 0.00045 0.00054 0.00056 0.00159 0.00163 0.00229 0.00085

1.16 0.37 0.44 0.43 1.13 1.39 1.45 2.00

-0.00048 -0.00112 -0.00018 -0.00028 -0.00012 0.00161 0.00160 -0.00026

-0.28 -0.93 -0.14 -0.21 -0.09 1.38 1.01 -0.61

0.00030 0.00165 -0.00032 0.00033 -0.00041 0.00201 -0.00158 0.00061

0.18 1.37 -0.26 0.26 -0.29 1.72 -1.00 1.42

0.00113 0.00228 -0.00058 -0.00044 0.00118 0.00006 -0.00006 0.00024

0.67 1.88 -0.47 -0.34 0.84 0.06 -0.04 0.57

Table VII Abnormal and cumulated abnormal return of GIM index portfolio

The abnormal return (AR) and cumulated abnormal return (CAR) is the market model residual. The sample includes 11084 matched surviving firms from bankruptcy announcement industries of four-digit SIC code available from COMPUSTAT and the GIM index recorded companies between January 1990 and December 2006. Daily returns of matched firms are form the CRSP database and the characteristic data is from COMPUSTAT. The first column of each observation is the abnormal return or cumulated abnormal return, and the second column is the two-sided T-test to indicate the average is significantly different from zero. Letters in boldface means AR or CAR is significantly different from zero in T-statistics. Panel A shows the cumulated abnormal return for different event day window (11-day, 5-day, 3-day, and 2-day); Panel B shows the abnormal return for each day of the 11 day window.

a. Cumulated abnormal return of GIM index portfolio

GIM≦≦ ≦≦5 GIM=6 GIM=7 GIM=8 GIM=9 GIM=10 GIM=11 GIM=12 GIM=13 GIM≧≧≧≧14

(-5,+5)

0.00354 -0.00676 0.00284 -0.00269 -0.00146 0.00010 0.00285 -0.00195 0.00565 -0.00499

0.87 -1.68 0.67 -0.87 -0.52 0.03 1.04 -0.55 1.63 -1.03

(-2,+2) 0.00396 -0.00025 -0.00028 -0.00150 0.00155 0.00051 0.00249 0.00039 0.00208 -0.00368

1.44 -0.09 -0.10 -0.72 0.82 0.23 1.35 0.16 0.89 -1.12

(-1,+1)

0.00213 -0.00096 -0.00365 -0.00341 0.00157 -0.00114 0.00227 -0.00058 0.00307 -0.00641

1.00 -0.45 -1.66 -2.10 1.07 -0.67 1.58 -0.31 1.69 -2.52

(-1,0)

0.00025 0.00101 -0.00268 -0.00101 0.00137 -0.00194 0.00047 0.00005 0.00159 -0.00288

0.14 0.59 -1.49 -0.76 1.15 -1.40 0.40 0.03 1.07 -1.39

41 b. Abnormal return of GIM portfolio

GIM≦≦ ≦≦5 GIM=6 GIM=7 GIM=8 GIM=9 GIM=10 GIM=11 GIM=12 GIM=13 GIM≧≧≧≧14

-5 0.00204 -0.00016 0.00255 0.00092 0.00096 0.00098 0.00248 0.00166 0.00233 -0.00031

1.66 -0.13 2.01 0.98 1.15 0.99 3.00 1.55 2.22 -0.21

-4 -0.00168 0.00023 -0.00068 -0.00060 -0.00073 -0.00069 -0.00069 -0.00016 0.00082 -0.00136

-1.37 0.19 -0.53 -0.64 -0.86 -0.70 -0.83 -0.15 0.79 -0.93

-3

-0.00164 -0.00145 0.00008 -0.00193 -0.00079 0.00097 0.00022 -0.00038 0.00074 0.00090

-1.34 -1.20 0.06 -2.06 -0.94 0.99 0.27 -0.36 0.71 0.61

-2 0.00184 0.00092 0.00108 0.00070 -0.00051 -0.00029 0.00056 -0.00014 -0.00016 0.00091

1.50 0.76 0.85 0.75 -0.61 -0.29 0.67 -0.13 -0.15 0.62

-1

-0.00061 0.00180 -0.00064 -0.00022 0.00085 0.00115 0.00102 0.00129 0.00124 -0.00372

-0.49 1.48 -0.51 -0.24 1.01 1.17 1.23 1.21 1.18 -2.54

0.00086 -0.00079 -0.00204 -0.00079 0.00052 -0.00309 -0.00056 -0.00124 0.00035 0.00084

0.70 -0.65 -1.61 -0.84 0.62 -3.15 -0.67 -1.16 0.33 0.57

42 b. Abnormal return of GIM portfolio (Con.)

GIM≦≦ ≦≦5 GIM=6 GIM=7 GIM=8 GIM=9 GIM=10 GIM=11 GIM=12 GIM=13 GIM≧≧≧≧14

1 0.00187 -0.00197 -0.00096 -0.00240 0.00020 0.00080 0.00180 -0.00063 0.00148 -0.00353

1.53 -1.62 -0.76 -2.57 0.23 0.82 2.17 -0.59 1.42 -2.40

-0.00001 -0.00021 0.00229 0.00121 0.00050 0.00194 -0.00033 0.00111 -0.00084 0.00181

-0.01 -0.17 1.80 1.29 0.59 1.97 -0.40 1.04 -0.80 1.24

0.00054 -0.00076 0.00054 0.00041 0.00024 0.00026 0.00003 -0.00183 -0.00172 0.00238

0.44 -0.62 0.43 0.44 0.28 0.27 0.04 -1.71 -1.64 1.62

-0.00010 -0.00242 0.00215 -0.00047 -0.00164 -0.00037 -0.00120 -0.00134 -0.00029 -0.00053

-0.08 -1.99 1.69 -0.50 -1.94 -0.38 -1.45 -1.25 -0.28 -0.36

0.00043 -0.00195 -0.00152 0.00047 -0.00106 -0.00156 -0.00048 -0.00028 0.00169 -0.00239

0.35 -1.61 -1.20 0.51 -1.26 -1.59 -0.59 -0.26 1.61 -1.63

Table VIII Abnormal and cumulated abnormal return of BCF index portfolio

a. Cumulated abnormal return of BCF index portfolio

BCF=0 BCF=1 BCF=2 BCF=3 BCF=4 BCF=5 BCF=6

(-5,+5)

-0.00143 -0.00731 0.000001 0.00243 0.00013 0.00099 0.01110

-0.37 -3.01 0.0003 1.04 0.05 0.20 1.01

(-2,+2)

0.00076 -0.00048 0.00014 0.00169 0.00046 0.00110 0.00698

0.29 -0.30 0.09 1.07 0.25 0.33 0.94

(-1,+1)

0.00007 -0.00411 -0.00069 0.00060 -0.00079 0.00167 0.00367

0.03 -3.24 -0.57 0.49 -0.56 0.64 0.64

(-1,0)

-0.00105 -0.00126 0.00003 0.00010 -0.00122 0.00099 -0.00056

-0.64 -1.22 0.03 0.10 -1.07 0.46 -0.12

44 b. Abnormal return of BCF index portfolio

BCF=0 BCF=1 BCF=2 BCF=3 BCF=4 BCF=5 BCF=6

-5 0.00154 0.00088 0.00115 0.00180 0.00136 0.00242 0.00290

1.32 1.20 1.63 2.54 1.68 1.60 0.87

-4

-0.00105 -0.00255 0.00014 -0.00012 -0.00053 -0.00132 -0.00404

-0.89 -3.48 0.20 -0.17 -0.65 -0.88 -1.21

-3

-0.00136 -0.00116 -0.00030 -0.00062 0.00018 0.00029 0.00377

-1.16 -1.59 -0.43 -0.87 0.22 0.19 1.13

-2

0.00027 0.00227 0.00039 -0.00067 0.00055 0.00161 0.00182

0.23 3.10 0.56 -0.95 0.68 1.07 0.55

-1 -0.00156 0.00114 0.00056 0.00093 -0.00024 0.00120 -0.00042

-1.33 1.56 0.79 1.31 -0.29 0.79 -0.13

0.00050 -0.00241 -0.00053 -0.00083 -0.00099 -0.00021 -0.00014

0.43 -3.29 -0.75 -1.18 -1.21 -0.14 -0.04

45 b. Abnormal return of BCF index portfolio (Con.)

BCF=0 BCF=1 BCF=2 BCF=3 BCF=4 BCF=5 BCF=6

0.00112 -0.00285 -0.00072 0.00050 0.00043 0.00068 0.00423

0.96 -3.88 -1.02 0.70 0.53 0.45 1.27

0.00042 0.00136 0.00044 0.00176 0.00070 -0.00218 0.00149

0.36 1.86 0.63 2.49 0.87 -1.44 0.45

0.00099 -0.00084 -0.00034 0.00038 0.00043 -0.00063 0.00414

0.84 -1.15 -0.48 0.54 0.53 -0.42 1.25

4 -0.00216 -0.00110 0.00033 -0.00063 -0.00159 0.00037 0.00119

-1.85 -1.50 0.47 -0.89 -1.95 0.25 0.36

-0.00015 -0.00205 -0.00112 -0.00006 -0.00019 -0.00124 -0.00384

-0.12 -2.80 -1.59 -0.08 -0.23 -0.82 -1.16

Table IX Summary statistics

The sample consists of 10,487 matched firm events with available return and characteristic data from CRSP, COMPUSTAT, and corporate governance index (GIM index and BCF index) between 1990 and 2006. CAR is in percentage point, and the unit of Total Asset and Long-tern Debt is million dollars.

Variable Number Mean Std Dev Minimum Maximum

CAR(-5,+5) 10478 -0.0159982 11.9783455 -100.7580369 146.9574798

GIM Index 10478 8.9979958 2.5106238 1 18

BCF Index 10478 2.2924222 1.3028562 0 6

Total Asset 10478 9697.16 36701.56 0.24 1097190

Market Value of Equity 10478 7106.8 23012.99 0.36025 396911.65

Long-term Debt 10478 2046.6 6688.82 0 203598

Herfindahl Index 10478 0.1981252 0.1698293 0.0203342 1

Leverage 10478 0.2439661 0.637796 0 25.4721821

Table X Pearson correlation matrix

The sample consists of 10,487 matched firm events with available return and characteristic data from CRSP, COMPUSTAT, and corporate governance index (GIM index and BCF index) between 1990 and 2006. While CARs are in percentage point, and the unit of Total Asset and Long-tern Debt is million dollars. P-values are shown in parentheses.

CAR (-5,+5) GIM index BCF index Firm Size Leverage

CAR (-5,+5)

GIM index

0.03108 (0.0015)

BCF index

0.04139 0.72092 (<.0001) (<.0001)

Firm Size -0.01363 0.12602 -0.02419 (0.1629) (<.0001) (0.0133)

Leverage

0.0109 -0.00591 0.01302 -0.09133

(0.2648) (0.5453) (0.1825) (<.0001)

Herfindahl ratio

0.00139 0.05058 0.02051 -0.10387 0.01304

(0.8868) (<.0001) (0.0358) (<.0001) (0.182)

Table XI Regression analysis

The sample consists of 10,487 matched firm events with available return and characteristic data from CRSP, COMPUSTAT, and corporate governance index (GIM index and BCF index). The dependent variable is the 11-day cumulative abnormal return in percentage points. In parentheses are t-statistics, ^a,

b, ^c stand for statistical significance based on two-sided tests at the 1%, 5% and 10% level, respectively.

The t-statistics are adjusted for heteroskedasticity.

Regression model for 1 is:

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