從上市公司股價對董監事持股不足的反應探討股票市場對代理成本的估計

全文

(1)~J:$0~n~1IItiifKi.. i± Rrt. ~ 0 fth ~ u.m m :::~ Rrt. iIIi rl=t ta 1'1 Jjjt , I ' )..t:. Il ~ 1;x...ll~ ~ i:t ~ Jjjt /J' I I'" ~. It f-\ JJ! PX *B'g fii ~t. #.*:tt.* *~~~Wk$~~U.ti.~.MU~~~&.'.MU~$. .ti~~d*~~*D~Rffl~~~~$~~.~~~$S~'~E ~k$~~$. •••. •••m•• ~~: , ~Uffl!ii.1it&.t±Hf~JjUJL~, ' iJ'F~P*~. '~.~~d*o~~.~. (l).~.f'ifU/f~~~~. ~~~.MZU.$.~&.Z~~d*m~.~~~~Mo. mW•• ftmWM~m_~*~'$.ti~MU~~.ffl~&~~g ~~m*o m~~. ••• $.~~M'$.ti~.~.MU/f~Zffl~,ti~~. ~$.~MffiIj§,~S~~o. @MU•• /f~.*zs.ftmWMiJ'FttMU~./f~.*¥m.* a'~~ fiiltWlJll. 0. ®~~ • • • $.~MZM~. •• ~~.*~s.ftmWMz~.m. _m:SBflMo (6)~~d*f~f.fU£S:Y:~~,$f@:tt$fr~O.OI%~ 16.31% ZrdJ ~d*f~S:Y:~*,~.~~Ztt*JllJfr~O.03%~28.71%ZrdJ. ' ffiIfi:. a. m~.ma.~m~~'MU~~Z~*.m~~~~u.~~.~ '&~~~~*.~.ffl~. .itf;il :. *a~*.M. fi:~d*· MU~~. •• ~*~~$.~~.AZ.~o. , n~ffUff. '. .~}tf3-.. '. .ftj:.~~. 0. •• ~.*.~~Mo~~ ••• g • • A~~ ••• ~o 1.

(2) ~~*,.~ft~.~.~$.~OO~9~~§~R,m~~.~ $~~Z. •• (.)&•• AM~~g~.~ffiq~m~o~$~~ •. •• tttt.~~MR.~*.~~~~g~fi.'~~$*.m.,~ •• ili'~®2~~m ••• M~~~~.~ID ••• M~~r~RR fi~~ •••• A~~~~&ft •••• ~Jm= •• ~m.M~Z~ ~o.~~.~~OOft~~~~ •• '.T~*M~~gZ~~.~. Mg~ID*'.~*'~.W~ •• '.~'K.~~.~~~~.~ ~x.~~t\. ( x.~pffif~iUIH~IjIfl.~). ':¥f~~lllfJf.M~~~3E1*ll>!. •• ) ;~:¥~*~~ °m~M~~g~~Z ••• *.ffi.~. .~0R~~~'~~0~(R~t+E~OO~. .( •• fi~M~+.ft). ~'.~~.~~&.~.Mo~R~A+~~ft~ID~.~.~~~ _~~ffl0~~. ••• M~~gZ~$~~m~12~Z~'M~~~~. ~#M~~.-~~3Io. ~*~'. •••• ~~0~~~if~~'~W~~~~~K.~. •• ~$.m,~~ .ili~~.~~o~.~if~Zg~fi.'~.~.W~if~*$~ • • ~.~o~~~~.~~~.Z'~~~.if~W*$~.ZOO~~ ~~m'.~~.if~ZM~tt.7Ill®~~o®M~~g~ •••m ~ •• ~~~if~(OO.if~M~~g)m~ft~~~~m,~~.~~ W'~ ••• M~e~g~~.~~~'*~~~. ~fIJ1i~~~~{i':~I1X*. 0. •• ~~~.if~q'~.~~~~~0 ~ · £,~~-g-jg~~~~~ , $~BRl'iq~ •• ' 2~3I._. ~O:m ~.&~-~.~'~ •• ~~&W.~~o~.~&3I ••• '.T .x.~*'~5&0~~offl~M~~g~ ••• '~.~~.Ea, mft~J-j, •• ~.if~ ®'M~.ft0~~~liff3\j~~~f~{"q , .~ ~M~~g~~if~ffi~. 0. 0. 2.

(3) ~&~.ffi.~&.'.~.W*$~MHo~~,g~~a~.&. ~~~~~Ma~~ffl~~~~g~*o. ~~~g~*~~~'~~~.*~~.~~ffl0~~~ZM. ••. •• M'~.~$ •• fl(~oa~)~~.M~o*~~~~.~~$ 0~a~~I~$Ma~~~&.'.Mam$.~~g~*~~~o ffl~ffl~~~~$~~$~~~$.~'~~~~$0~$.~.'~ .~g~*o. 1\ ' lfJ fill -*.it. WJ. •• ' lfJffmpt\J$Ti-ff3lHlz.. ¥~W~~~g~*~OO~~~*~~.~ffl0~~~ZM. M' ri\l1ftl;P).$.iiM ( ~[IaiJt ) ~ P).~~t~~1t ~~It@]~n~T. :. 1. i1c$.W5H*~ (1993) ~mw~.~~~$.M.~~~~am.~~. •• q,.~ • •. •• tt~&~o.~~ffl.. • • ~(~$ • •. Za&8.~)~~~. ~~&M.$~~~. ••• ~~&~~.~T'~~.~$~~.~'. JlIJ.~$$~~fBt$:f[I~M$i$JCJfjE~~~CAR~m7fJ. M$~f~. 0. ~O~P)'IJ!!J~. '. fE!.~;t$.tt~. 8 $~~.~~ , JlIJfifi~.~CARfJT-~I!*~lI:. ~'~~~~~CAR.~'ffff.~~~~~CAR~I!*~~o~*~ ~fJT-~.~~~$~M~~~m~Ma~~~am.~*~. ~*-fI!~ CAR~.ff1: ~~.~i.fjij. '. •• ,g~. t&i1c$.W5H*~ (1993) ~.~ttH#*~~.. 0. 2. mtM!$ (1986). .1fmpt\J~!f!.~pt\J$~f*A3i~~f:f~~~. if. 2 J=l ra~ (# 3000 J=l ) 110*. , ~P)'RiJ 70 if. 9 J=l ~ 73. $0~.fl*' l.fU~~0~~ J=l ~am. •• $I$'~.A.~$U.AZ~~.fl'ffl$ •• ~~~$. Z~*~:~~~~pt\J$~.A~ ~m~~~'$.~~ •• ~~$. ~. 3.

(4) $.?~~'~~_*.~S~~~~-fi~m~~&~.~m~~,~ .m~fftJ1'~Z*/J\~~. ~). ( /3 > 1 ) &f1fm~~. m~~a]. (/3. <1. ,~gu.tt~P'JfflH!mf*A~Sflj;m*~1¥ff~~' ~t)'OO:flZ.1l~1~. ~.MtiP'J$A~S~.z~.oM. •• ~~$~~P'J$~~A~~.. ~~~.~~,~.oo:m$.~~~~~~~*$.~~o. Ii! (1989). 3. ~. 3. tt§:;~ 77 if.. ~ 77 if.. 10 fj ra~ 143 *r*Ji!Blmf*A $~".~OO:~&. fl _*'. P'J$Im~A$~".~OO:~&-tiOO:~~~.'~~ Dimson(1979) Z. r *,~fU1*~$ J ~If$.f~~t:pz.m~f*~ , 15J~1*ffl r IfZt5]~~~lff&m~ J (mean adjusted returns model) , r $.~ ~ ~ If f& m~ J (market adjusted returns model) '& r fij .. f~ ~ J (market model ) #[[9W~~f~ '~fi'S~~tT, liH~M ••. $.. ~'OO:~~r*J$!m~A$~~oo:".~mg~~~&-~n=B€'.B ~~&.'~mff.m~.z.~.;P'J$!m~A$~~oo:,,~z..m~. &-f&20 005tS BP'J. 'IfZt5]~~j;J. f@:J5~' ;;)\~POO:fl~1t'~~~AA~. ,. MmrP'J$!m~A".~OO:Jz..~tioo:m$.OO~'~~Affm~~ .;~~mIfZt5]~~~'§~&-Bn17B€. ~~'~§~~Bn2B. ~¥~&-B.25B±·W~~¥·~mP'J$~~A&~ffl~-~~m. ~~.*~~~~~~~~ •• ~,. .oo:m$.~~~~~~~~*. $.~No. 4.~~~~. j;).. (1991) ~ 77 if.. 11 fj ¥ 79 if. 11 fj FJJ 115 *~ $~E] , # 248 *P'J$!m. ~A$~".~OO:Z.~&-.fl~liH~_*·~fflfij.$.m~&~~~ M.~Z.~$.~~.OO:.$.z.~$~'OO.~-fi~.A~1t'$~. _.~OO:~&-. 8'~fi~~.WZ. •• ffi~~~.~~.~~·;;)\~. w~.oo:m$.~~~~~~~~$$.~~o~~'~~.~OO~ft. i1mJlt~tTM~W$~".OO:~~*. '~FJT51~~~~m~~.ItH:f1~*;. ~.$.~MZ.$._.~OO:.~tiOO:~Z~.~~M~~*~~.$. 4.

(5) .MM;~fflr.~ft.~fiJ~.W$.Mm".0~.~Z.~. II: ' *5:!~H~WMm".0~.~RII:fti~.~RII:&~.~II:Z.t:tf9tl5t:5tl~ 12.S4%&4.89% ; 1l~-=Ftltrg.~R.t:tf9g~3l61.0S% ; !l1J\r*J~rm{*A $.".Mm0~~~~~m.trg~.~.o. 5. Warner (1977) ~~ • • ~*-.'~~~*~~M~.~~~*fi~.~~~* ~~ffio~~~.$~*~~~~ • • ~.~~~*~~~~~ofi~. • • ~*trg~t-t,. ~m~~~. Warner (1977) fi 11 *jlIm0a]trg~~ ,. ~~~~~fi0a] • • M'~.~Mtrg~ • • • ~*'~~$.~E. R'.~~WRR·&~~ZffaRffl.o~~ • • • ~*a~~~R ffltrg~t1 •. Warner (1977). ~~~ • • • ~*fti0a]fll~trg.t:t$t:E*0a]. trg0.4%iu/J\0a]trg2.1% ' .Ift5]~. m~rdj. 1.3% '. ••• ~*E!IHRifHti. 1I:'~~~Mffi~~ • • ~m~trg~.·.m·&.~~ootrg~~~. VI ' £\.t:Erfl• • liHtrg~ft~~~t. 0. 6. Weiss (1990). Weiss (1990) ~~37 *NYSE&AMEXJ::rfl0 trg • • ~*, ~ ~~~~ • • • ~*.Ift5]~s ' 1~ • • rwm~rfll~trg20.6% (ft-1i~2.0% .¥ 63.6% ZFdJ) , f~ • • rwljJijDj~ f.&IR~rflfU1trg 3.1% (ft-~ 1.0%.¥ 6.6% ZOO) 'f~ • • rw~ • • ljJijDjflfiHtrg 2.8% (ft-~0.9%'¥ 7.0% Z ~) ,~~~*~t-t~ • • • ~*trgm~o 7. Brealey & Myers (1991) Brealey & Myers (1991). ~~~l'F*P)' Texaco 0a]fiPennzoil0a]. Z~trg$.~E.~~.~m~rfl.~~trg~.ffi~ • • • ~*o. 1984if-Pennzoil0a]~#tGetty Oil0a]m~~iT3l~M P)'J!iftitrgfl~~~Getty Oi11}a]fi~1§r#t. '. ' Teaxco1}a]. Pennzoil1}a]Wf~1i~$.~. Teaxco0a]lttrft~t~~. , 1&*$~~Ij~PennzQil0a]Mi~' Teaxco~ftg: ftPennzoil trg~ll1£ 1987 if-4 ~M ' *fIHD~~~ lOS tiZI! *fi Texaco~1987if-4~10B$5 • • ' ~-m,~,'§'~1&' ~BTexaco0 0. S.

(6) ~ t¥J IN: m. m1m!"""F ~ T 817 Ef lit j(; , 1.tI A PennzoillJ)\ iI ~1B f! Z 9~ , 1t IN:. mmim!lJ)\~ T. 628 Eflitj(; , ft~tPrJ~IlJ~ Texaco '§i5-milffiJ"""F~t¥JIN:m. mimI*t!#~ 14. it: 4 5 E~rlit~j(; , ~{oTexaco 0~'§i5-milfWIN:m${m!. t¥J 18.73% ' Brealey & Myers :$:0. ~~. m~fi5~tt¥JUl~fOrdl~milmt. :$:~~m~fflzm~.M*.~"""Fm~: 1.J:m0~ji~.~IN:~.fEZm.:. ~~t+E~+-~~~~~I~~~W~~BW;~~t+E~+ -~~~~~Ma$.~~.~. •• ~~(t+ft~j(;~~&~.~. ~ • • • tl~~)Zr.~~.J~flo. ~J:m0~JN:m.B~.~&.fi.OOtlIN:~m.: ~~~w$1I.::r-~t.~$/L\Z r EPsil'.IN:mm~*1t~.flJ!JJ 3.J:m0~~tI. '. ~~,~,.M. :. ~~il' • • ~x~m.fiZrJ:m.~~~J. 4. . m0 ~Z .~.:$:m '. .fiIN:.&7friji1:E~}IN:.. ~~OO71IJJ:m0~Z0M~I:l}l. 5.J:m0~Z*t!1iilm: ~~il'.~~ffi~tl1iflJ!Jo. 6. 0. 0. :. 0.

(7) .~M~ •• '~.A'.~A&~~~ffim.~ffi •• §~~+~~. *'M~~~*0~~~~~'~~&~OO~.'~±~~~$~~0 15~'" (~=1i 1 ) i~fjJji~~~~A' .1i~~fi1i8PJf.jfjMJ:fi~~~fi ~~~mID'~~~$.;0~.~~fi+1i8~f.jfj,. $ •.. ~.M±~~~M$~~0~~(._1i2). ~~mA~. ••. •• ~±~~~. o~~.~.~~. '~M~.-.~8 •• m~*.g·®~~fifl~~. r.~.~~fiflJ:o. •• fifl~R~t+1i~+-fi&~~.6.M. ~~~~ •• ·~*~~~.*~~~.~fifl~·~~-G~ +1i~+. fi~f.jfj~.mo~~MOO~R~t+~~+-fi~. + -=-~- fi 11: ' #~ 1312 • • f4. 0. ~~.*.~1t. ~t R~A. · jf~Jtffl1.f4~. .·.*~.~'~.~~~~.fi: 1.1&[!]~Ht~0~/f~. 865.. • R~~IEm0. ;. ~II:tIJf:~Ij®jllflj~~.*~~. 0. L~~*MOO~m*J:*~0~'~~~~Wfl~~·.~.~*~~ ~.*. 0. El3I1:t~*®jIIJIJ~T 35 rttWf-+. ~~*MM~ •• $11:. ~ {j f*~~~~~. 0. ~~m.-~Moo·ft~~m* •• ~M~*. · ~~M~1IjA.*$. 0. f9tl~O$~A.1i~t+t~. ~fig •• -=-OOfi.~.~.~~/f~~.~·~~~. W.~RE. t+~~+=fin8~*(~~~~W~.~~) '~REt+t~ 7Cfi+~8:::tXm~J:*; X~OEJm1t~~REt+A~+-figiij!. .1iOOfi.~.~.~~/f. ·m~#.~t+t~+-fi-=-+8. +=fi=+-=-8$11:~~·~~m.*/f~.~o. 4. El3m~~~0~~.~~/f ~~1tIDM. .m. · ~~.~~fi ~ : ~O~.Ni:. ~t+n~nfi&'~.~+OOfi.~~~~~~~.'~M. ~1IjA~~~.*$. • }1UIMrdilWt.. ;. 9i-·. ~1J9jil::.~1i~ R~A. +~1ifig·iij! •• ~.~.~~~~.~+tmfi'~*~&~' ~~ ••• ~.fi~~.,*~~mM~mm-oo.~o. ~fi~~-0~.~.E.~~/f~.~~~=. ~ffi~-=-OOfi~~. 7.

(8) ~'~~~~~M~m~~~'OO~~~~z~~,~~m~-@~. flj: , sltPJ~m-*~~OOfJX0E1tt Fl (tJ -. B. ~flj:~~. B. 0. Wg:f[[]:k. ~~.~0~~77~2Fl~fJX.~0E~@Fl~~M~~R(~-· -'~'EFlM~~R) '~~~Fl.R~,&~~tFlX~.~~. M~"~~~M~~R. m.~~~~'~XM~=@Flz~,~.. m%~~zm~-oo.#,slt~~~M~~R~.AOOFlz~o ~1?<WLtil!!;~Ji!Jjf~IJ~it· fip~z*5:'l' ~lf.>!1~48~l:$0~·. 108*.~~M~~Rz~MfiIjS(. *utF~.~5}ffiZfi*. 0. .~~M~~R~~zm.'.~.WFl~l:.Fl~ft-*'~M ~~. M'.B~*~m~~. itJ (Event Study). ~zW~'m*utF~~fflr~#utF~. '~~flj:BzW~' Mm!PJ.B~0~1i~¥&?JZ. B.M~~o~*utF~~B1iM~,slt~M~~R.#fJX0E. Fl~. #Fl'~Fl1iM.mz.MW5}ffi;OOB1iM~#BZW~,~~~m WFl~~.Fl+~8m~,. .1i~0~Z!Jjf~,®. ( Event Day. 0E~~M~~R0~z~flj:B .Flfl~B •• ~.A. M·. B~1ttFlfJX. ) '~fID®~w.Fl=+Bm. $'~M~1i*.~B~~~.#o~BW. WM~,~~a.M.fi.m5}ffi,~ti~WM~.~.~~Z. l:t~W5}ffi. '. ~o/£J:f(fi5~tz~~. dl. fi5~tM. t-75. (60:J(). t. B1i*41 (lti: 1 ). BW*42 (lti: 2 ). 0. , 1?<~WM~~z~~ , ~m:f[[]r d2 d3 ~~M d4. fi5~tMW~~MzW~. ttl. -. 16. t 280 (200:J( ) t-81. t. 15. t-80. (31:J(). :. t+15. (161:J() t+80. :*~~Z •• M.W9ffi'~~8.M~*~MM.~'X.3.M~.ZM. *~~~1*{'fZ. . J:""ftUt~~~. 0. 2:*~~W.~m.~0*800200*.~MM'm •• ~~~MM*a'&fiB. JJJZrEti ' f~{~~rW • • ~.3.~tf.f.ffJ~ , ~ngjffi~tff~MM*ilH\. 60 ffJJtft 200 *~MMZ. 8. •• M.'*~~#1*{'fZ,~m~~o. *'.

(9) :@ljiF/ I. f:J jiiF/- 1 (iff 3 ) f:J jii;f42 (iff 3 ) ~. I. I. (727(). t-96. t-25. t-24. (617(). t-5. (1600 f:J. t+36. I. t - 30. ( 2400 f:J. ). t-7. ( 3000 f:J. ). t-7. I. I. t - 36. ). t+9. I. t-5. (1800 f:J ) t+12. *'. " :W ¥IHlttI z til:8: *1iff~f*rP~m. M.~$'~. f5Hfi7JUtN:~Z-*~1tm~, ~ffif*ili~tN:. H.Am.~*Z~.o. rP~mi\f;fd~5E007JIJtN:~Z¥&~$~rP~.~$¥~~I~lH* R j. t. := OJ. Zffl· '. ~p. + f3 jRm. t + e j. t. t:p Rj,t : mjfill~~~~mtx~ Rm.t : tN:~$~~mtx~. B zlliIm¥&~* '. B ZlliIm¥&~I* '. lUElJi '. f3 j : Beta f* 1& ' ~p 007J1J tN: ~ Z -* *1C.1it ~ ,. ej.t : ~~lJi ' 1tM~f@~~ OJ :. 0. ~~.mi\z.~lJi~&**1C • • ~.~~~*~e.'~~ffl.. ;j\Sf jJit;. ( OLS ) *1tfii~t{@Aj. &8j. 0. ~*'~.~9mmi\Z~5Em~'ffif.ft.5EM.~~ • • 1iff~~~~f*mSf~.~ • • mm~&rP~.~ • • mmi\,~ttt. ~m~. •• M.Z. A,.~m~*1iff~~.Z.~tto. 1. rP~f~ ~rP~mi\~Hili~&~M.l&m'~A~~MZtN:~.~*&rP n3:~~ • • ~fl. ~fl.Z.~.~~~~~oo=@~m.~,*m~~.#~~~. R.#~~·~~.#.~~R.#~'~fl~m,~~tt.a. 9.

(10) 2. If!:!SJ ¥fH~HHJI !'iH& t~:r\ If!:!SJft~ •• ~.:r\~~~mj.~.Z.OO:!SJEmMft~$~~. mlfifiEiKj (t=!!JE(Rj)=Kj ) ,f§..~~HifflJ:' !±c!f~~mlt;*~o .Z.t&If!:!SJftMI$Rj{~~. ,. '. mJ;J~~. t=!P. d4. ER"t T t=d3 j,. j : :L}BJj. t : ~~Mra~(d3-d4). 3. $WJ~M.!H&.:r\. $WJ•• t&t~:r\~ljtJ.OO$~19:~*J3.-g-Z$WJ~M$ ( Rm,t ) {'Pm ~t.~m¥&MZ*~ , t=!1J. Mffi~.~.*~.~Mmt*~~m~~~~.~~.~'N~~ .~~.~.*lfi'~~~If!:!SJ~m¥&~'~:r\~.mmtB~'N.~ .ZIf!:!SJ~m~MI~:. 1. ARt. 10. =N. N. EeJ"t' j= 1.

(11) N:fI:$:f/): j : 1}EJj. t : ~JEMrdl(d3-d4) ~~~g~~.~M¥MJEB~~.m~mt~'~~~.MMZ. fJf~~g~CAR(Cumulative. ~ ll:Jt:l. fJf Sf ~ ~ 1j!; ~ i1ItI $. '9.J\t!p~mOJ~B. Average Residuals). Z ~t.:r\. 1 d4 N CAR t= Ee' t n-tE =d3 j 1 j, N :. fi:$:_. j : 1} EJj. t : ~JEWJrdl(d3-d4). 1\ ' 1t~tt ~.1t'1T :$:~~.~.~.MR~~tiR.~.~'.OO~~$.ti~.~ :$:~~w~~mo~oo,.~~.~m.~~~~'. •• R.~~.~. ~-~~~~fif/):.~~~~A~li~.~¥oOO.~~.~fim-. ~~"t~-.~lt ~.Z:1Jit,. P'J'. E8 Ball !Ii! Brown (1968) fiJTtlHB ; ~~. m*lJ (1989) lk£~ff~(l991)~1fjlfflIl:b$;. 0. :$:~Ji:9.J\1ifflIl:titPJ. ~ •• ~.M~~~.~Z.~~.'~~~:r\~T:. 1. $ • ...tl±lfJiZ~.~lt. : l TI = N. ~$ •. N j. 0. EEl E j,t I = t 1. =d3. ...t • • m~~JE~~.mz~.~.: N. NI=-" E N j =1. 0. lEE' I t =d3 j.t. 11.

(12) 1 II=-I N. N. 0. E E E· I j=1 t=d3 J,t. PI = (TI -NI ) ITI. UI=NIITI i*~.~ffl~~~~m.m~~.m$,~m~~~.#m ~JtB5t l:t. •• z.. :. SI = II/NI z*~. •• m$'.~ffl~~~~m.m~~m~~~.#m••. ~Jts5t it. :. z.. TSI = NI x II =II /TI. TI NI. TPI = 1 - TSI = 1 - II TI. *m~. ••. M~~W~~*~~M,.~.m~~~.#ti~.m. ~~~~~M~~~,m~ti~*~,~m~-. •• ~-ft~~$'~. ~~~t+~~-~~~~A+=~~~z~.romrn~~~~*~, ~~t+~~-~~t+ft~=~M,~.rn~-.~*,~~~~~ *~~M;®t+ft~=~~A+=~~~,a~@~,mX~~5a. 12.

(13) ~. '.RZ~A~. •• fi~*.M~o. J\ ' jij: Wi 7f' IE. f! 11 ,~~ ~ W~ ~*~~~~*~,~~.~~~~~t+n~n~~~.~+M ~.~~. ••• M.~~a. .~.'X~X.-M~.~~M~~.. a&.!tf9tJ ' ~JlMmM.~ ~Z~f§~ a.-&.MM.~~~.~~~~fl.mff~~~ •• '*~~~~ el08~~*~ , ~ttl52~ffjC~~*l-ZM.~~.~' &M.~~M ~fo~Mff.~Z!tf§~ 70.07%. 0. .~~~~Z~*~~'~M.~~~.~~~~Z~m'&M.~~ .~foJl!Mff.~.lt*Z*/J\ ~~~JE~~ J ~M~1l. , I1J51a. ( ~P-=f.*). & r M. 51.I§{JlrJ&tJ~tlll~ :. r M.Mm~ ~~~ 0. J. : mM.~ ~ s51l:tillO%J:J..t ' 11. 1.M.Mm~~~. (2)M.~~il.4MFI J:J..t~ 2.M.~~~~. 0. :. mM.~~s51l:t*illO%~. ;~. WM.~~FI~*.~~M~(~)~o. ~..t51.I§{~'~W.aT.~.-.Z~*M~~~~.~.~ ft{$o. iL ' iIf ~ ~! ffig *~~~.~£~B~&.~zm~'~~ffi~~mWMa*.m .~~.~&Jl!~*m~&rr. ••• o~~'.~.&~MM~~~.. ~~.'~~ •• ~.~M.o. 13.

(14) *~~Z~~~~~~(CAR)~~~~~~~&~$~~Z~~ ~~~~(AR)~.~~;.T • •*. • • ~*·*~~~~ffl*.~ ~~:m f& tl~ (market adjusted returns model) & ~~~~~:m f& tl~ (mean adjusted returns model) • tAl:t~~.~.~~~Z~ · m~* ~~ *5~ Z ~ ~ 'l::t *~ ~ ~gt ~ tl* 9f~Jl& ~$1'4~J1g1T AR & CAR Z~5E • fl3~.ft9ffJT~jl! · *x~J;)ltigtM~60:;R ( t-75~t-16 ) Z r B ji~ 1 J • Egt60:;R B ji*41ti~MfiJT1~Z*5~9ffJT~DT : 0. (-)~lttl*Z. fJ~~~~9ffJT. E~ • •*. • • ~~~It~*Z.~*5~~~Zo • •* • • ~. lmfiJT~Z~~~~~~ (AR ) &~fl~~~~ (CAR)~D*-' &111 a ' -bfiJTm *-4'OJ?:a' AR t-7' t+4 ' t+5 ' t+7 ' t+9 ' t+ 14 & t+15 ~¥.~~ttil~fOO:~W.fflMz~ fOO:ifI3m {tJ.-¥:t:£'§ B ziW ' mH)}t9:jiA£!pe*,J~ifI3lRl~tU~l ; ~£!POJfjEfiji~ami ( information leak age ) I¥J!Ji~ CARJlIJ~T B ziW~:;R*ilM~7Jd~j~ , ~$14=-B f&~¥.~1!tM 1iilm~1J~w.fflM;f§m, ~iBf~~IJ~D[i-fflm EEJ;)-.t Z .~OJ~·.e$MW~gz~~,~W • • • • &.W.~~ J~J ' ~t!P*~~PJTw.:lti~t ZW~*.PJT &.Z {~l!I!JJX:*~~IJ~~-.t1¥J Mo~~*.~~~:m • • &~~~~~:m • • ~~fi.~z.~g 0. 0. 0. 0. JJi!.o ~~~WU:m*.~M~*z~. ~~~~9ffJT. *~~z~*M~.~~~t+~. +-~. ~~A+-$-~. ~'EE~M~zW.~~m~~~IIl.Z,t+~$~t+~$=~.. 14.

(15) 1it~. ~ • • *ZCAR?t~*1tm-~~1i9. ( $ ffi:iiT:-15 -+15 ) fIij.m~m):\. T. AR(T). CAR(T). -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15. -0.00147 -0.00265 -0.00012 -0.00186 0.00223 0.00211 -0.00110 0.00155 -0.00541 -0.00141 -0.00128 -0.00230 -0.00201 0.00015 0.00410 0.00187 -0.00295 -0.00303 -0.00136 -0.00390 -0.00562 -0.00168 -0.00421 -0.00177 -0.00333 -0.00184 -0.00045 0.00294 -0.00072 -0.00713 -0.00526. -0.00147 -0.00412 -0.00424 -0.00610 -0.00387 -0.00176 -0.00286 -0.00131 -0.00672 -0.00813 -0.00941 -0.01171 -0.01372 -0.01357 -0.00947 -0.00760 -0.01055 -0.01358 -0.01494 -0.01884 -0.02446 -0.02614 -0.03035 -0.03212 -0.03545 -0.03729 -0.03774 -0.03480 -0.03552 -0.04265 -0.04791. a : *,**,*** $t7;W~7J\ 10%, 5%,. t(AR). t(CAR). -0.62821 -1.13248 -0.05128 -0.79487 0.95299 0.90171 -0.47009 0.66239 -2.31197 ** -0.60256 -0.54701 -0.98291 -0.85897 0.06410 1.75214 0.79915 -1.26068 -1.29487 -0.58120 -1.66667 * -2.40171 *** -0.71795 -1.79915 ** -0.75641 -1.42308 * -0.78632 -0.19231 1.25641 -0.30769 -3.04701 *** -2.24786 **. -0.62821 -1.24499 -1.04614 -1.30342 * -0.73962 -0.30706 -0.46196 -0.19793 -0.95726 -1.09869 -1.21249 -1.44461 * -1.62617 * -1.54989 * -1.04493 -0.81197 -1.09348 -1.36788 * -1.46473 * -1.80032 ** -2.28103 ** -2.38165 ** -2.70445 *** -2.80191 *** -3.02991 *** -3.12529 *** -3.10388 *** -2.81051 *** -2.81876 *** ~3.32768. -3.67731. *** ***. 1% M~*~. 15.

(16) ... e.81 - - - - - - - - - - - - - - - - - - - " ' ". •• .•... .. ~".' ....... ..'#.,. 8 ~----~~~--~~~~----------------~ •••••. ....... +.. '~'f. '.. .....'.p... -.........,......... "'.. \.. .... 82. . ..... t .•.. ··..... - •• 81. '0.. •. .~. ~.... - •• 113. .... IM. -15. -12. -15. -12. -,. -6. -3. 8. 3. , ,. 12. 15. 3. ,. 12. 1S. 8.887. 1.886 •• 1IItS. ....... •• 8113. ....•, 8.182. - ....1. -8.182 -8.1113 ....111"1. -e.8E -e..... --e._ ....,. 16. 9.

(17) ~=. ~ M ~ Ii. mm~ ~ WI.;$: Z. CAR Jt iffi fC [t * JE f~ ( $ftfiiT:-15 -+15 ) 1lfj.m~m~. T -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15. H:. AR(T) .. CAR(T). -0.00454 -0.00569 -0.00269 0.00416 0.00478 0.00540 -0.00562 -0.00051 -0.00468 -0.00753 -0.00339 -0.00597 -0.00830 -0.00808 -0.00024 -0.00030 -0.00348 -0.00699 -0.00199 -0.00899 0.00127 -0.00434 -0.00376 -0.00390 -0.00578 -0.00204 0.00499 0.00478 -0.00300 -0.00840 -0.00728. -0.00454 -0.01023 -0.01292 -0.00876 -0.00398 0.00142 -0.00420 -0.00471 -0.00939 -0.01692 -0.02031 -0.02628 -0.03458 -0.04266 -0.04290 -0.04320 -0.04668 -0.05397 -0.05566 -0.06465 -0.06338 -0.06772 -0.07148 -0.07538 -0.08116 -0.08320 -0.07821 -0.07343 -0.07643 -0.08483 -0.09211. *,**,*** )j-8tl~/J\ 10%,. t(AR). t(CAR). -1.17313 -1.47028 * -0.69509 1.07494 1.23514 1.39535 -1.45220 * -0.13178 -1.20930 -1.94574 ** -0.87597 -1.54264 * -2.14470 ** -2.08786 ** -0.06202 -0.07752 -0.89922 -1.80620 ** -0.51421 -2.32300 ** 0.32817 -1.12145 -0.97158 -1.00775 -1.49354 * -0.52713 1.28941 1.23514 -0.77519 -2.17054 ** -1.88114 **. -1.17313 -1.86918 ** -1.92749 ** -1.13178 -0.45992 0.14980 -0.41019 -0.43029 -0.80879 -1.38258 * -1.58235 * -1.96031 ** -2.47824 *** -2.94609 *** -2.86221 *** -2.79070 *** -2.92547 *** -3.26877 *** -3.29955 *** -3.73544 *** -3.57381 *** -3.73073 *** -3.85132 *** -3.97594 *** -4.19432 *** -4.21624 *** -3.88928 *** -3.58578 *** -3.66737 *** -4.00200 *** -4.27480 ***. 5%, 1% Ii~**. 17 ~.

(18) lII=a. ~iiWIi~m~~M_*zcARm~1II. ($fttrMT:-15---+15 ) 1.11. •. -'.'1. -I.a. ..... -1.83. -. -I• •. ...... -. -I.1n". ...,. -I• •. -. .... 1. -lli. -J.'Z. -,. -6. -3. 8. 3. (0. ,. LZ. 15. iiftli. m~~M _*zAR?3-ffli II ( $fttrMT:-15 ---+15 ). ..-. e.81S. " ". ..'... '.11. ..... .'!'.. ,. • -e.8IIJS -1.81. ••. -I.IIS. -15. ft:~I11-. 18. -12. -9. -6. -3. e. 3. .... ,. LZ. 1S.

(19) r 12,495 J.ff~~~ll: • -!m~f\- • *iiff~~1l:tW:frJjpgzfi*7IJA~ru1~ WHl* • ~tfl6900fi* ffijt+fLif.1~H~ljlii~1f~ , i'&*iiff~lmt+fL if._~~A+_if.-~Mz.*~Ar~Efi • • $.~W:fJ •• *~ fl3900o~~~.$.m~~r~ru1fi • • $.~W:fJfi*z.~~~ ~aJlmr : :JtAR&CARZJf~~j£*E~RD~=&III=a ' =bfilT/J\ EB ~= OJ9ffi ' ARtE t-14 ' t-9 ' t-6 ' t-4 ' t-3 ' t-2 ' t+2 ' t+4 ' t+9 ' t+14 ' t+15t!§J¥M~t1J3.:Jt{Wi#WmW:fZ~ftI[m~ a CAR~7~1tj:BZ 0. 0. Wi 15 ' 12 ' 11 ' 10 ' 9 ' 8 ' 7 ~*3.t1i~*~r} • :Jt~*~t!§J~M~ 1:1J3.~~#JUfjW:fm~ · :Jt1ll%RDIII-filT/J\ ; fi::'E:Rfi*z CARmf;i • ~fljfi • • $.~W:ffi*z CAR-15 '" +15 fI1IA-0.09211 • Jt ~ {l1IljIfJf f;i::'E:Rfl*Z CAR-15 '" +15 ( = -0.04791 ) ~ {l1ImfJfA* • 1i/J\~ru1 fi• • *.~W:f·*.~m.~~M~~~z~A~A • • 'OJ9ffi*iiff ~ffi • • HzW.*.ffi&~Z~~~*~.-#~~ • • ~~~Mo ~~'* • • ~$~ • • m~&~~w~~ • • m~#fl.~Z • • • ijio ~M~.m~~~*z~~~~W~~~ *iiff~tE~R.*. 108 *$ ,. ~ili. 52 *flj[;.~flzMW~~~. ~'&M~~~M • • ~~~Z.*0~·a.:Jt~~~~~~Mfl~ ~Zl:t$*/J\&FH• • ~M~~~~~z~m· J&~AIljj:M~~~W. ~~M~~~Z0~,:Jt$'M~llm~~z0~fl2400fi*~,:Jt~ .$.m~Z • • *E~7IJm~-::::. , EB~=$ • OJ;fiiliARtEt-15 ' t-12 ' t 7 ' t-3 ' t+2 & t+4 ~ t+9 ,t+13 t+I5 ~3.t*1tm- ~~M~*~J3.:Jt{OO: #fimW:fz~~m~; CAR~t-15~t-I2¥Ii~r}· ~1ttt-4ep01!:fBWi. rzg~~~ t+I5 ep01!:f. B1&+ 1i~pgi!J!.20 ~¥Ii~1:1J3.~ljIJf#WmW:fm ~ • :JtCARIII~IIIRDIII-::::filT/J\ • El3111$OJ~$.m~ZCAR1ttt-7 (ep 0*iW~tB~) ep~.r~, ffij$ • • ~~.1&m~JP¥~w~~. 1&m~#OJ;fiilifl.{tJ,~III~. a. *~~~*·El3*iiff~ZJf.*E~OJ. ili·oo.$.m~:JtAR&. 19.

(20) CARZ m* ~/J\m-1tftl!PrHl~PJT~z m ; 1tJ:f:l xtJ.if1S]~i1Hf~gf&m~ ffl~Zm~.*·1tARZ*~~~*.~Mo ~~~~fi§m~~mR~~Mm~~~*z~m~m~i1Hf~~. ffi~~J:f:l~~lli·.m-~~Wfi§m~~mRX~~Mm~~~*. Z 17~~*0~ ·1tAR&CARm-*1C~_:iE:J:~Mlf1i~iW~~~*~ mJ!maAM · 31 x_:iE:mrdlJ:f:l · AR 1f 13 xJlMlf1i · ;!tJ:f:l1f9 x~J:f:l m-0*Bf&+.1ixl*J ; ffijCAR1f23x~Mlfj'~· R1iNJ#-Bf&1S]~f,¥6~ Mlf1iiiff!}Jtw,mmfElff · ;!tCARm~III~QllllmaJ:f:lffl7J\ · ffil1J:f:l~~ lliCARZr~m~J!m~M·~ffi~.1iJ:f:l~ro·~~W,fi~m~~Mii. X~~M. ~~~*;!t.m~mR. CARZ.11$M~~*. .·#~*~~ffl. z.m.~ft;!tftl!~.*~mz. ' ~/j\1~t~~*0~Z~1JHi.*'&~lli~JiID\. •• M~.m~ffl'&~Zft~~*·ffi~~~*.m. M.ffl.f,¥6~M.tt~*.'J!.-~.~m~~~~M'~JiM.m. :?5 Pf:j lim ~ J:f:l * 1f JH.lj, ~ Jf m. iW~.~~m~i1Hfz. 0. •• M.~M*~~z.R,m~M*'&~.. ~_M~~~~~.o$~Z'~M~~~~~~~m*Wlf0~~~ ~tI~. , ~.f;j0~~~~iWif~'.Pll"JJt~1fJ>[) , ~ffij.lli;!t=¥J:f:l~~. ~o~~'~.ll"'&~.~~~a~~ffl&~~ft~~*o *~~m~.mM.ffl.Z~m~m~i1Hf.-~~~~.~_Ma ~~ffij~~zft~~*,;!t~~n~m:. .~~mmm~~(m~M'&~z~~~*) =.fl~m~i1Hfxtl~.if1S]~mm. tI~.if1S].mm~~~*0~tI~~mm~M.~~.if1S],ffij~.. *0~ztl~~mm~~;!t~.~*~a. •• ~~~ffij.o. m~~~zft~~**lli.,m~m-ft~~~,~~~ft~~*~. 20.

(21) ~=. #f ml fM. Jj /f JE ff* Z CAR :B- tIT *fC ~ ~ JE fil[ ( !lftf:iiT:-15 ~+15 ). trtf ffl. iii *~ m~ T -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15. AR(T). CAR(T). -0.00699 -0.00412 -0.00570 -0.00712 0.01114 0.00708 -0.00013 -0.00018 -0.00799 -0.00262 -0.00278 -0.00607 -0.01002 -0.00343 0.00186 0.00123 0.00012 -0.00813 0.00002 -0.01148 -0.00731 -0.01274 -0.01297 -0.00797 -0.01842 -0.00139 0.00092 0.00336 -0.00729 -0.01152 -0.00992. -0.00699 -0.01111 -0.01681 -0.02393 -0.01279 -0.00571 -0.00584 -0.00602 -0.01401 -0.01663 -0.01941 -0.02548 . -0.03550 -0.03893 -0.03707 -0.03584 -0.03572 -0.04385 -0.04383 -0.05531 -0.06262 -0.07536 -0.08833 -0.09630 -0.11472 -0.11611 -0.11519 -0.11183 -0.11912 -0.13064 -0.14056. t(AR) -1.40927 * -0.83065 -1.14919 -1.43548 * 2.24597 1.42742 -0.02621 -0.03629 -1.61089 * -0.52823 -0.56048 -1.22379 -2.02016 ** -0.69153 0.37500 0.24798 0.02419 -1.63911 * 0.00403 -2.31452 ** -1.47379 * -2.56855 *** -2.61492 *** -1.60685 * -3.71371 *** -0.28024 0.18548 0.67742 -1.46976 * -2.32258 ** -2.00000 **. t(CAR) -1.40927 * -1.58387 * -1.95671 ** -2.41230 *** -1.15320 -0.46998 -0.44502 -0.42911 -0.94153 -1.06025 -1.17991 -1.48295 * -1.98507 ** -2.09768 ** -1.92973 ** -1.80645 ** -1.74665 ** -2.08378 ** -2.02728 ** -2.49348 *** -2.75500 *** -3.23927 *** -3.71332 *** -3.96314 *** -4.62581 *** -4.59094 *** -4.46942 *** -4.26087 *** -4.45969 *** -4.80876 *** -5.08979 ***. ti::Ii1J~-. 21.

(22) iii .=: a. 8.M. ' * * Z ( .f4rilT:-15-+15 ). ~ ~ If&. 11 l' JE. CAR. m~ iii. ~-------------------------------------.. 1.82. -e. 82 -e.M. -e." '. -1.1!J8. ... -8.1. -8.12 -8.1<1. -15. -12. III == b. -9. ':6. -3. 8. ,. 3. 12. 9. 15. ' * * (.f4rilT:-15-+15 ). ~ tR If&. m: /f JE. ~ AR Jt fflj iii. I.~ ~-------------------------------------. e.ll. -8.81. ... _'"""""_'"""""_"'I""""I_.,...._,.......... -8.11Z ....... -1S. 22. G ............. _~. -12. -9. -6. -3. ". 1. _~_...". 1:1:. 1S.

(23) ~~WIiJHfj~ltfmft3Z.~~~. ~1l9. ifJT*1t~~JEfili. l' JE :If ( $ftfi1T:-15 ~ +15 ) 1ii •. T. -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15. * Z.. CAR 5t. iff;t~ fl Jt. t(AR). t(CAR). AR(T). CAR(T). -0.00583 -0.00590 -0.00743 -0.00492 0.00833 0.01235 -0.00036 0.00062 -0.00689 -0.00488 -0.00859 -0.01078 -0.01133 -0.00689 -0.00311 -0.00127 -0.00640 -0.00857 0.00069 -0.01567 -0.00427 -0.01276 -0.00976 -0.00966 -0.01532 -0.00015 0.00399 0.00853 -0.00913 -0.01227 -0.01546. -0.00583 -1.05045 -1.05045 -0.01173 -1.06306 -1.49448 * -0.01916 -1.33874 * -1.99316 ** , -0.88649 -0.02408 -2.16937 ** -1.26912 -0.01575 1.50090 2.22523 -0.25010 -0.00340 -0.25606 -0.06486 -0.00376 0.11171 -0.20003 -0.00314 -1.24144 -0.60240 -0.01003 -0.84954 -0.01491 -0.87928 -1.27667 -0.02350 -1.54775 * -0.03428 ' -1.94234 ** -1.78302 ** -0.04561 -2.27927 ** -2.04144 ** -0.05250 -1.24144 . -2.52815 *** -0.05561 -0.56036 -2.58711 *** -0.22883 -0.05688 -2.56216 *** -0.06328 -1.15315 -2.76534 *** -0.07185 -1.54414 * -3.05139 *** -0.07116 0.12432 -2.94148 *** -0.08683 -2.82342 *** -3.49834 *** -0.09110 -0.76937 -3.58192 *** -0.10386 -2.29910 ** -3.98973 *** -0.11362 -1.75856 ** -4.26872 *** -0.12328 -4.53413 *** -1.74054 ** -0.13860 -2.76036 *** -4.99459 *** -0.13875 -0.02703 -4.90290 *** -0.13476 0.71892 -4.67290 *** -0.12623 1.53694 -4.29824 *** -0.13536 -1.64505 * -4.52896 *** -0.14763 -2.21081 ** -4.85647 *** -0.16309 -2.78559 *** -5.27781 ***. :IRJ~~. 23.

(24) 1!. CAR(d4). fj;. tiL<$:. ~miWfi ~$~!F.f. M. ~1R1t. /F. ~~jWfi. ~~~1R. Itli/F. ~. 5E M-15 '"'-' +15. -0.04791. -0.09211. -0.14056. -0.16309. ~. M-I0 '"" + 10. -0.03342. -0.07922. -0.10332. -0.12300. ~. 5E M-5 '" +5. -0.01633. -0.04646. -0.04599. -0.07619. ~. M-4 '"" +4. -0.00943. -0.04434. -0.05590. -0.06333. ~. 5E M-3 '" +3. -0.00323. -0.02938. -0.01835. -0.03688. -0.00760. -0.04320. -0.03584. -0.05688. -0.00373. -0.00392. -0.02305. -0.04113. CAR(O) ~ ~. M-15 '"'-'+15 5EM-I0. ~. +10. ~. M-5 '" +5. -0.00053. -0.02628. -0.01921. -0.04197. ~. 5EM-4 "--' +4. -0.00187. -0.02289. -0.01643. -0.03338. ~. 5E M-3 '"'-' +3. 0.00411. -0.01692. -0.01036. -0.02260. 24.

(25) ~~a. ~~~g~m~~MHX~~.m1'~~*z CARM~~. ( $itt:fifT:-15-+15 ). ".R. e.•1. • I. ¥. . l~. ~-1i,. .,. .. . :'t. 9 L. "... *' :\. i'. .. -e.81. ... •. - •• IIZ. -8.83. I, -15. -12. -9. -,. -3. 8. :3. ,I. ,. 12. 9. 1S. ~~b ~~~g~m~~MHx~~.m1'~~*z. ARJ1 iflj III ( $ itt: ~T:-15 - +15 ) ft.8Z. e. f'.. "'. ......'. a::z:ct1 • . 4'0. -8.HZ . '0. .... ..•. .... ••.•.• -0. .•. -8.tH -8.1116. ,. -e.• -8.1. .<). '. -1.12. -e. 14 -11.16. ,'. -e.18 I, -15. -12. -9. -6. -3. .,. 3. ". 91215. li:lPJlIl. 25.

(26) ~~f~*. a* Wl. fj}. b*. ~NJi~Hi~rP~ t~mtAiIi::f lEZ. f~*. ~MZf~*. a. b. a. ~liJiWti~rP~. ~M. xM'mtAi lEZ~*. b. a. b. rm!f!$~t~A. -15~+15. -4.79%. -7.19%. -9.21% -12.17% -14.06% -28.71% -16.31% -27.99%. -1O~+10. -3.34%. -5.08%. -7.92% -10.41% -10.33% -21.31% -12.30% -21.45%. -5~+5. -1.63%. -2.42%. -4.65%. -6.06%. -4.60%. -9.48%. -7.62% -13.45%. -4~+4. -0.94%. -1.41%. -4.43%. -5.76%. -3.60%. -3.80%. -6.33% -11.24%. -3. ~+3. -0.32%. -1.48%. -2.94%. -3.84%. -1.84%. -1.72%. -3.69%. fj}. M. -6.59%. rP~ijHI~~f&t~A. -15 ~ +15. -2.91%. -4.37%. -7.22%. -9.54% -10.62% -21.68% -14.56% -24.99%. -1O~+10. -2.29%. -3.48%. -6.37%. -8.37%. -7.64% -15.76% -10.59% -18.47%. -5~+5. -1.27%. -1.88%. -4.05%. -5.28%. -3.54%. -7.28%. -7.18% -12.67%. -4~+4. -0.64%. -0.96%. -4.11%. -5.34%. -2.84%. -5.89%. -6.24% -11.07%. -3~+3. -0.01%. -0.03%. -2.64%. -3.45%. -1.17%. -2.42%. -3.48%. *. ¥'~~M~~f&f~A. M. -6.21%. -15~+15. -3.26%. -4.90%. -7.87% -10.40%. -8.60% -17.57% -11.19% -19.21%. -10~+10. -1.30%. -1.97%. -6.22%. -8.18%. -5.45% -11.23%. -6.73% -11.74%. -5~+5. -1.08%. -1.60%. -5.33%. -6.96%. -3.08%. -6.34%. -7.07% -12.49%. -4~+4. -1.34%. -1.99%. -6.01%. -7.81%. -3.59%. -7.44%. -6.84% -12.13%. -3~+3. -0.19%. -0.28%. -3.90%. -5.09%. -1.l0%. -2.26%. -3.29%. -5.87%. *a : :$€ {t]:!b-X * ld til ~.1f. ~!f rP f~ Z 1t* b::$€{t]:!~*~.~~~~~~!f.~gz~*. 26 ,. J.

(27) .~~~.*S~ft$H~~~*~.0~.~M~~.. ~a~ft. $oHM~~M ••• ~~~·~~~~·~~~*~.~~~.*~ ~tt$~/J\1i~{-\;:~~*fti~~.ji~~tt$. ~. ; ~fi!tt$J;)~~fl*a'>J'I~. ~'~~~U~*~~M~fl*~*'~~~. T-~~fl*~~. *·~U~~WU~*~~MHX~~~mT-~~fl*~~o~~~~ *fti.~~~.*fifi~tt$~i§ 'MM~-O.OI%. · ~~. {ifi~MM~-16.31%. · ~f~~fifi. ; ffij{~~~*fti.0~.~M~~.ji~a~tt$~IJ1r1i~. 28.71%~-O.03%~rd1. 0. ,. .~R ~:l:5t*JT. ~t~I~$~~T-~0~~B~~~~.~~oU0~~15~~ 0~~B~$~.ffiji§·~ •••• ~~.m·.~.a'>J~~ftm~.. ~~~·~~~.~ •• m.~ftm~ •• =~~o~~T-~0~~m .fti~~~R:l:H*'!!~~R.~ttf9U~lj~7 M.*~fl~~ {[!5t7Jtl~ 7.95%. H2.76%7l-' ~.-=flA~fifi~*.I%. · .?&~~T-~0~W~R.1t~FiR:. ~~.a'>J~.~.·fu~~~0~.~~m~.~~*~fl*~~N~. AmtJi. 0. ~t~.$~.~~~~~~~'~.$~.BMa'>J.m·.~.. •• ~·ffij~.mftm~.~ro·H~~T-~Wm~~W ~R. H ~'!! ji~R. a'>J tt f9tl ~ ~ ~. 7+~ a'>J dI ~ • ~ M fJt~ ~ ~E mHJ} x~ 7 a'>J~mftm~. *~a'>J~$tt·w~*~~.m0~BM~'~&~7*.ffia'>J~~o l-~~~5t~~~~{i5BtM~t-75 ~ t-16 ~. B~*4ffi1~ , *liff~~7l. ~~~ji~H~W~a'>Jffl~~~~~~~~~~o. 27.

(28) t-15 t+O. fill. m i!H~ ~ 0.2756 •~W~lUi(TI) ~'R~}Ui (NI) 0.0956 0.0076 ·fit M: ;;r- .@ 1}'€5- 'R ~JUi (II) 11~ ~ tI ttg *! 'R ~JUjHt f9u (TI-II )/TI 1 65.32% 34.68% •l'I¥ ~ ~ll jifr5 ~ Wm jiz tt f91J (NI/TI) ·fit mt:;;r- .@ ''€5-~~lljif~~rP'R~lljiztt 2.76% f91J (II/TI) fitmt:;;r-21}'€5-'Rm.~rPwm.zttm (1I1NI). 7.95%. t-l0. t-5. t-4. t-3. ~. ~. t+0. t+0. t+O. t+O. 0.1969. 0.0932. 0.0754.. 0.0810. 0.1115 0.0520. 0.0461. 0.0429. 0.0037. 0.0005. 0.0018. 0.0041. 58.88% 53.35% 50.55% 43.04%. 41.12% 46.65% 49.45% 46.96% • 1.90%. 0.48%. 1.94%. 5.45%. 4.62%. 1.03%. 3.93%. 9.57%,. m~f!H~ffl1'if.jJ~1&~j\ ~ 'R~llji (TI). 0.2735. 0.1921. 0.1094. 0.0907. 0.0732. rP'R~llji(NI). 0.0863 0.0002. 0.0741. 0.0504 0.0014. 0.0436 0.0031. 0.0398 0.0071. 0.07%. 0.63%. 1.28%. 3.39%. 9.69%. 0.23%. 1.65%. 2.78%. 7.06% 17.83%. ~W~llji(TI). 0.376'1 0.2679. 0.1488. 0.1253. 0.1013. ~'Rmji(NI). 0.14. .1254. 0.0804. 0.0689. 0.0628. MM: ;;r- .@ 1}'€5- 'R ~ll. (II) 1~ ~ tI ttg ~ ~ ~ll ji Itf9d (TI-II)/TI ~~ ~ll. f~ t! 'R~llZ tt f9U (NI-TI). 0.0010. 0.0040. 0.0027. 0.0044. 0.0032. fit mt: ;;r- .@ 1}'5€ - 'R ~ll :Ii (II). 1~ ~ tI B':1 ~ 'R ~ll jitt f9u (TI- II )/TI. ~'R~lljif~~ 'R~llZ.ttf91J (NI-TI). 0.0012 68.46% 61.45% 53.90% 1 51.93% 45.65% 31.54% 38.55% 46.10% 48.07% 54.35%. MM:;;r-.@1}'€5-'Rm.~~'Rm.zttm. (II/TI) fitmt:;;r-.@1}'€5-~mji~~'Rmjizttm (1I1NI). Sf ~ ¥Ih'iffl1'if.jJ ~ 1& f~1:\. 61.70% 53.20% 45.96% 45.04% 37.98% 38.30% 46.80% 54.04% 54.96% 62.02%. fitM:;;r-.@1}'€5-'Rmji~.~m.zttm. (II/TI) fit M: ;;r- .@ 1} '5€ (IIINI). 28. ~ ~ll jifr5 i~ 'R ~ll. Z. tt f9u. 0.26%. 1.48%. 1.80%. 3.51%. 3.12%. 0.69%. 3.17%. 3.32%. 6.39%. 5.03%.

(29) J r.. 'J-lL. ... t-:t -i'4. MIIJ. "'12. ~$*afiti~.~.~$W~OO~Bhfi§#~·mm~.~$ 0~Z~~(~)&~~A~~~~zm~ili~~fimMoti~g~$m. ~'.~~.~~~T.*M~~~Z0~~~~.~~ffi~'Q~. $~.(. • • ~~+.ft). o~.~~~~z.~~m.~.,.~~. .~~&.~.Mo~~'~fi~$0~Z.~(. )&~.A.MM. ~::f~~~~o. ~~ • • • ~A~ffi ~,.~~. '0~~ • • ~.~B~.ZM~~.~. •• ~z~~tt*~.OO~*o •• ~zB~fi~,~g.. ~*a~OO~~A&~*a~OO~M.,~m~ ~m~o~.~~~#~'~~. •••• ~*~~ ••. •• ~~~~0~mm~~.~*,m. .• ~~*'&~.~*~o ~~~::f~~ •• ~ili~.W~0~~ •• m~,~.~~~~~ 0~,~ •• ft~$~~~~·$.E~~~~ •• ·&~.~~o~ .~.&:lf::-~f{79r ' jllJm~~.~m1&~~~gWJ ~~.2~~.~ ~:~.~*,~~~*. 0. .·~T.x$*·~~&0~$omM~~::f~~.~.'::f.:lf::~ Ii~~. ,. ili~~l:J.W~ • •. m. 0. •• iWjfW~ffl'{,\~ , .~~g&m.mim~&. ' .m.ili~*~~~o~~'~ •• &.~~ •• ~~~::f~m~~~ ~~.ti0~~. ~~~*o~~~*.~~~*ti~~.m~~.m.~~*~m#~. •••• o~~~~~*~#~~ •• ~0~~~~a.o.*$W :If::~&.~~~*:lf::MB.~~ •• ~~.~o ~m~~~*~~~'~fi~.*~~.~~ffl0~ ••ZM•• •• M·~.M$ •• M(~~.)~M.~~o*~~~:lf::~~$0 ~. ~~mti.~.~~::f~~&.,.~~.*.tiR.~*~~~om ~ffl~~~~$:lf::M.~~~$~~,~~ft~*0~* •• ~'~.. 29.

(30) f-t J!I! !iX: *. 0. n~*iffJ'lz±'~~tj,t~~!lOr. : 1. j[ ~ * t.f mt ~ JE EJ';] 1}'f:fJ ' Jt mt fR til.. ~ LX J1! tl1 ~ ~ ~R }~, ' /))' ep * iff J'l ~ • • Mzmt.$.~~~Z~J!I!!iX:*.fl • • ~EJ';]~t.fD ~~ • • • m.~EJ';].~~*.'$.~~t.fmt~JE.~EJ';]LX~~~. EJ';]tj,*o a~.Wfi~$.EJ';]qM'$.~M.e*t.fmt~JEz~m,m~M~. .$.qMrm§ ,. J!~fiU~. Q. 4. t.f mtBm~ JEtf*Z • • • m.~/)),1:tt.fmt~~f1&~ JEf:*~tj,~:k. EJ';]j1f11$;fJro ~~.Wfi~$.EJ';]qMzt.fmtBm~JE.*,Jt • • • m.~Zr •. •. ~m~BJlIQ. 0. 6.f-tJ!l!!iX:*f6f1£tIJZ-:lSj~$fII1:t* ff-MO.Ol %. 16.31% zrdj , ffiH-tf!!iX:. *f6S:P::ISj~.~~Z1:t*fJIJff-~0.03% ~28.71 %zrdj. Q. Z~.~~.~fi~~,t.fmt~JEZ0~.~m~~~mt~EJ';]±'.~. .'&~~.0~~~.~EJ';].ftm*~fl$.~~.Azmmo. .:E~ff~ (1991) , r ~$1}'f:fJI*Jffi)lmf*AZ$.".t.fJj~:W$.~*Z.. miffJ'lJ '*tl1~m±~~'~.:k'.'iffJ'l~o .:Et!t- (1991)'. -. r ~.mt.~ $1}'f:fJ.e*t.fmt!iX:~W*,l:g*'l~Z • •. thrmWD~~fi. J. i1i:rp. ~ 5R:k!iX: (1993), 35. ,*tl1~fiji±~~, *~:k.~n'iffJ'lpJT r *f!fiffJ'l7tW~j}]. /3 J '~:kffJ!l!~il' 1. 0. :f*~:ti (1993) , r f-tJ!l!!iX:*WII!.~m. 317-346. J 'mllLi&m:k".' 68 '. 0. :f**fEII (1990)'. 30. 0. r 1f:~PJT~W~~~.. .tml&~$1}'f:fJZ • • liJf.

(31) ~J '*~~~±~x'*~*~~~~~~~Mo. m*_ (1989)'. r il.JN:~$~f3 ffi~Hglltx~tT~ltJN:~flM:~.Z. ~~J. .*~~~~~Mo. ,*~~~±~X,. fflj*~~ (1993).. r il.till1ilJ:$0~. Tobin's Q IUJf*ZJnft~~ ~~~Fff. J. ~~, IUlf*A:f.fJN:lt~W0aJ. ,*tl1~~±~X' *Jjj{*~~~~. 0. r 0~m~WJN:*ft:J;;. 5H*/iX: (1992) ,. ~IJJ j3 m~Z.lri*6~. J '*. ~~~±~X'*~*~~~~~~~Mo. 5!Hf.~ ~ (1989) · 'r il.JN:~$~J:$0~ l*niBlUlf*A $~:f.fJN:".ltJN: ~~.Z.lri~~J ·*~~~±~X,*.*~~~.~~~. Fff. 0. 5HflJl~ (1991) ·. X'. r IN:tI~fftJt0aJ.~~.Z~~. 1L3aa*~~~~~~~Fff. ~WII. (1991)'. r IN:tI~fft. '. ,*tl1~fii±~iIi. J. 0. .~w,*fiIiX:W~~1itif.":J~.~- j;J 77 if.. ~ff~~~~mJ '*~~~±~X'*~*~.~~~~Mo It*~~ (1992)'. ~fii±~X. It*m* (1976)'. r il.J:$0aJJN:tI~fftWJN:~~~*Z~~. '. J. ,*~. J. ,*~. r fXi'JJN:~$ijJ}m~~ftiWJN:flt@ftlUlf*ZUff~. J 'i'J. i&m*~tt~t~~Fff. 0. r M~~~g$itIJmRWl*J$lUlf*Ax~ZUff~. ~~±~X'*W*~~~.~~~Mo. .}II. It*tfw (1991) ,. lri~x~m~. (1990)'. lri~x~ lt~. .~~ (1993)'. f4tt.Jm~~atJlJ/iX:~~. mm-= (1984) , mJi. (1990)' ~X. '. , ilit : lim- ' 63-68 , ilit : i.k rn ' 97-110 'ilit ' ilit :. 0. 0. 0. , 194-196. a. r Ffffftl*6fftW0aJflf:[rdjlUlf*ZUff~. J. ~ltliU1f~lt. *W*~~~~~Uff~pff. .~. ,*~~~±. 0. .~~ij (1988)'. r 51-ti:JN:tlW.~:f.fJN:J. ,m~~~Rf~' 14-17. i\:iJlMflJl (1986)'. r 0~~itIJ~mH,Ii!Jt~ff.~lUlf*ZUff~. J. a. ,*~ltlHi. 31.

(32) *. ± gi!i)( • c:P W. ~ {£ ~ ff f!I! itff J'E pff. 0. Ball, Ray and Philp Brown (1986), "An Empirical Evaluation of Accounting Income Number," Journal of Accounting Research, 159-178. Brealey, Richard A. & Stewart C. Myers (1991), Pri!1ciples of C()rporate Finance, Fourth Ed., New York: McGraw-Hill . Brown, S. and I. B. Warner (1980), "Measuring Security Price Perfor mance," Journal ofFinancial Economics 8,205-285. (1985). "Using Daily Stock Returns: The Case of Event Studies," Journal of Financial Economics 14, PP.1-33. Eisenhardt, Kathlee M. (1989), "Agency Theory: An Assessment and Review,. It. Academy ofManagement Review 14:1. 57-74.. Fama, Eugene F. (1970), "Efficient Capital Market : A Review of Theory and Empirical Work," Journal ofFinance. 383-417. Fama. Eugene F. (1976). Foundations of Finance, New York: Basic Books. Fama, Eugene F., Lawrence Fisher, Michael C. Jensen, and Richard Roll (1969), "The Adjustment of Stock Price to New Information," International Economic Review, 1-21. Gallant, A.R. and J.1. Goebel (1976), "Nonlinear Regression with Autoregressive Erros, Journal of the American Statistical Associa tI. tion 71,961-967. Guffey, D.M., and W.T. Moore (1991). "Direct Bankruptcy Costs: Evidence from the Trucking Industry," The Financial Review 2, 223-235. Gupta, A. and R. Leonard (1991), "Ownership Structure. Leverage, and Firm Value : The Case of Leverage Recapitalizations," Financial Management, 69-82.. 32.

(33) Harvey, A.C. (1981), The Econometric Analysis of Time Series, New York : John Wiley & Sons. Holderness, C. G. and D. P. Sheehan (1988), "The Role of Majority Shareholders in Publicly Held Corporations," Journal of Financial Economics 20, 317-346.. Kim, W. S., 1. W. Lee, and J. C. Francis (1988), "Investment Perfor mance of Common Stocks in Relation to Insider Ownership," The Financial Review 23, 53-63.. Lloyd, W. P., 1. S. lahera, and S. J. Goldstein (1986). "The Relation Between Returns, Ownership Structure and Market Value," Journal of Financial Research 2, 171-177. Madden. G. P. (1982), "The Separation of Ownership from Control and Investment Performance," Journal of Economics and Business 34,. 149-152. Oswall S. L. and 1. S. lahera (1991), "The Influence of Ownership on Performance : An Empirical Study," Strategic Management Journal. 12,321-326. Summer, L. and D. M. Cutler (1988), "The Cost of Conflict and Finan cial Distress: Evidence from the Texaco Pennzoil Litigation." Jour nal of Economics 19, 157-172.. Warner, J. B. (1977), "Bankruptcy Cost: Some Evidence," Journal of. Finance 26, 337-348. Weiss, Lawrence A. (1990), "Bankruptcy Resolution," Journal of Finan cial Economics 27,285-314.. 33.

(34) Stock Market Estimate of Agency. Cost -The Case of Stock Price. Reaction on Insufficient. Shareholdings of Corporate. Directors. Chihuang H. Lin. Department of Finance, National Chengchi University. This paper investigates the stock market estimate of agency cost from the viewpoint of stock price reaction on insufficient shareholdings of corporate directors. The methodology of event study was utilized to conduct the investigation. The major findings are as follows: 1. Evidence supports that stock price did reflect the information of insuf. ficient shareholdings of corporate directors, although with a time lag as revealed in the CAR. 2. Stock price is more sensitive to such information during bearish market. 3. Stock price has more negative change in the case of severe insuffi cient holdings. 4. The most significant negative change in stock price occurs when message of severe insufficient holdings revealed during bearish market. 5. The agency cost is estimated to be between 0.001% and 16.31% of 34.

(35) average market value of equity; and to be between 0.03% and 28.71 % of average book value of total assets. 6. The analysis of information content shows that the message of insuffi cient shareholdings of corporate directors is not a major factor affect ing stock price. Key Words: Agency cost, Corporate directors, Insufficient shareholdings, Information content. 35.

(36)