| 摘要(英) |
Abstract
This paper investigates the effect of bankruptcy announcements on the stocks of bankrupt firms and their competitors. In our intraday analysis, both bankrupt firms and their competitors suffer large losses in the of the bankruptcy announcements. We also find contagion and competitive effects exist in intraday data and these effects will affect stock price reaction in different ways. Candidates for the contagion effect experience a large significant loss immediately following the announcement, and their trading intensity increases first and then decreases. However, contrary to expectation, candidates for the competitive effect also have a significant negative return, supporting that the competitive effect is dominated by the contagion effect in the intraday data. We also find that the trading intensity of firms subject to potential competitive effects does not change so much. Moreover, we investigate the order imbalances and discover that the order imbalances tend to be negative for bankrupt firms and their competitors after the bankrupt announcements and the contagion and competitive effects do not influence the behavior of the order imbalances. |
| 參考文獻 |
Altman, Edward, 1969. Bankrupt firms’ equity securities as an investment alternative, Financial Analyst Journal, July-Aug., 129-133.
Atman, Edward, 1984. A further investigation of the bankruptcy cost question, Journal of Finance 39, 1067-1089.
Barclay, M., Litzenberber, R., 1998. Announcement effects of new equity issues and the use of intraday price data. Journal of Financial Economics 21, 71-99.
Chordia, T., Roll, R., Subrahmanyam, A., 2001. Market liquidity and trading activity. Journal of Financial Economics 14, 3-31.
Clark, Truman A. and Mark Weistein, 1983. The behavior of the common stock of bankrupt firms, Journal of Finance 38, 489-504.
Jeffrey A. Busse, T. Clifton Green 2002, Market efficiency in real time, Journal of Financial Economics 65, 415-437.
Lang, L.H.P., Stulz, R.M., 1992. Contagion and competitive intra-industry effects of bankruptcy announcements: An empirical analysis. Journal of Financial Economics 32(1), 45-60.
Mark C. Dawkins and Ena Ross-Green, 1998. Prior wall street journal announcements of possible bankruptcy filings and price reactions to subsequent bankruptcy filings. Journal of Business Finance and Accounting 25(7), 813-827.
Mark C. Dawkins and Linda Smith Bamber, 1998. Does the medium matter? The relations among bankruptcy petition filings, broadtape disclosure, and the timing of price reactions. The Journal of Finance 3, 1149-1163.
Stephen P. Ferris, Narayanan Jayaraman, and Anil K. Makhija, 1997. The response of competitors to announcements of bankruptcy: An empirical examination of contagion and competitive effects. Journal of corporate finance 3, 367-395.
Warner, J.B., 1977. Bankruptcy, absolute priority, and the pricing of risky debt claims. Journal of Financial Economics 4, 239-276. |
[Endnote RIS 格式]
[相關文章]
[文章引用]
[完整記錄]
[館藏目錄]
至系統瀏覽論文 ( 永不開放)
plurk
funp
live
udn
HD
myshare
netvibes
friend
youpush
delicious
baidu
Google bookmarks
del.icio.us
hemidemi
facebook
twitter
google
reddit