Project--Advanced Financial Economics

Project--Advanced Financial Economics

ID:40960709

大小:919.12 KB

页数:3页

时间:2019-08-12

Project--Advanced Financial Economics_第1页
Project--Advanced Financial Economics_第2页
Project--Advanced Financial Economics_第3页
资源描述:

《Project--Advanced Financial Economics》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库

1、TermProjectfor“SelectedTopicsinFinancialEconomics”WeiXiongThedualsharesofChinesefirmslistedinsideandoutsideChinaofferauniqueopportunitytostudyhowlocalandforeigninvestorsreacttopublicnews.AsetofChinesefirmshaveshareslistedinA-sharemarketsinsideChinaandinH-sharemarketstradedinHongK

2、ong,whileanothersetofChinesefirmshaveshareslistedinA-sharemarketsandinN-sharemarketstradedinNewYork.Pleasefollowthestepsoutlinedbelowtoanalyzetheresponsesofthesesharestothefirms’annualearningsannouncements.1.FindthesetoffirmswithdualsharesinA-shareandH-sharemarketsin2000-2012andt

3、hesetoffirmswithdualsharesinA-shareandN-sharemarketsinthesameperiod.Listthenamesofthesefirmstogetherwiththelistingperiodforeachshare.Notethatafirmmightlistthelocalandforeignsharesatdifferenttimes.Reportthelistingdateforbothshares.Forthefollowinganalysis,usetheperiodwhenbothshares

4、arelisted.2.Findeachfirm’sannualearningsannouncementsinthesampleperiodandtheanalyst’sconsensusforecastsbeforetheannouncements.Therearetwowaystomeasurethesurpriseineachannouncement,onebasedonthedifferencebetweentheannouncedearningspershare(EPS)andtheconsensusforecastandtheotherbas

5、edonthedifferencebetweentheannouncedEPSandthepreviousyear’sEPS.Tomakethesurprisecomparableacrossfirms,normalizethesurprisebythefirm’sshareprice(moreprecisely,theaveragepriceoflocalandforeignshares)threedaysbeforetheannouncement.NotethatH-sharepricesareinHongKongdollarandN-sharepr

6、icesareinUSdollar.YouneedtoconvertthemintoYuan.Anannouncementisdefinedasgoodnewsifthesurpriseispositiveandbadnewsotherwise.3.ComputeCAR(-1,2)thecumulativeabnormalreturnsofbothlocalandforeignsharesfromonedaybeforetotwodaysaftereachannouncement.Youshoulduseastandardmarketmodelbyreg

7、ressingthereturnofashareduringthisperiodonbothlocalandforeignmarketindices.4.Reportinatabletheannouncementdate,announcedEPS,consensusforecast,thetwomeasuresofsurprise(afternormalization),andCAR(-1,2)ofeachshareforeachannualearningsannouncementinthesample.5.Comparetheaveragereturn

8、oflocalandforeignsharesingood-newssample

当前文档最多预览五页,下载文档查看全文

此文档下载收益归作者所有

当前文档最多预览五页,下载文档查看全文
温馨提示:
1. 部分包含数学公式或PPT动画的文件,查看预览时可能会显示错乱或异常,文件下载后无此问题,请放心下载。
2. 本文档由用户上传,版权归属用户,天天文库负责整理代发布。如果您对本文档版权有争议请及时联系客服。
3. 下载前请仔细阅读文档内容,确认文档内容符合您的需求后进行下载,若出现内容与标题不符可向本站投诉处理。
4. 下载文档时可能由于网络波动等原因无法下载或下载错误,付费完成后未能成功下载的用户请联系客服处理。