טכנולוגית המידע והשלכותיה על יעילות השוק

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DESCRIPTION

. . . , , , . : - PowerPoint PPT Presentation

Transcript

  • *

  • , , , .

    : . , '. . - , . " . . - (Event Study).

  • * , , .themarker.com globes.co.il bizportal.co.il calcalist.co.il , , . sponser.co.il, dbursa.co.il, trading4living.com, capital-market-forum.com

  • *

    1.

    2. 3.

  • * (Event Study) - . , : , . , , .

    (Abnormal Return - AR) - . , ( Capital Asset Pricing Model - CAPM).

    (Cumulative Average Abnormal Return CAAR) - -CAAR -CAAR .

  • *

    - . : H0 :H1 - . :H0 :H1 - . :H0 :H1

  • * , , . , . " 2073 . , 331 . .

  • * : - 60 - 271

  • *

    1

    1 -

    1. 1.

    - 200578465.33sponser102149.3%

    - 220692376.92dbursa75036.2%

    - 2007366183.0trading4living30214.6%

    "2073All Rumors2073

    3. 2. ,

    61729.8% 122759.2%

    145670.2% 84640.8%

    "2073" 2073

    4. 3.

    75561.5% 39632.3%

    47238.5% 83167.7%

    " 1227" 1227

    4.

    75561.5%

    47238.5%

    " 1227

    2

    3

  • *

    1227 . 3: - CAAR .CAAR(-5,0)=6.767%

    1

    0

    -0.0005498626

    0.0019705912

    -0.0057559304

    -0.0026806576

    -0.0060147714

    -0.011187563

    -0.0136144332

    -0.0157404963

    -0.0110931698

    -0.0132213719

    -0.0140994903

    -0.0113253172

    -0.006427196

    -0.0051499677

    -0.0028619804

    -0.0026721303

    -0.0040580623

    -0.0087427726

    -0.0099909163

    -0.012527373

    -0.0095097771

    -0.0145080315

    -0.0109708988

    -0.0142593439

    -0.0124193439

    -0.0085463439

    -0.0010563439

    0.0085236561

    0.0298736561

    0.0534136561

    0.0590436561

    0.0575360105

    0.0573460774

    0.0499699858

    0.0515100925

    0.0512800693

    0.0569017291

    0.0570239305

    0.0550255992

    0.0516675067

    0.0587671901

    0.0567227491

    0.0561101776

    0.0583831077

    0.0535381355

    0.0544310191

    0.0508745612

    0.0467420265

    0.0494277926

    0.0478987155

    0.0538016152

    0.0481815196

    0.0468432194

    0.0463383002

    0.0462420023

    0.0424491973

    0.0473980462

    0.0471277111

    0.0457719447

    0.0396618025

    Trading Day Around Event Date

    CAAR

    0

    -0.0005498626

    0.0019705912

    -0.0057559304

    -0.0026806576

    -0.0060147714

    -0.011187563

    -0.0136144332

    -0.0157404963

    -0.0110931698

    -0.0132213719

    -0.0140994903

    -0.0113253172

    -0.006427196

    -0.0051499677

    -0.0028619804

    -0.0026721303

    -0.0040580623

    -0.0087427726

    -0.0099909163

    -0.012527373

    -0.0095097771

    -0.0145080315

    -0.0109708988

    -0.0142593439

    -0.0124193439

    -0.0085463439

    -0.0010563439

    0.0085236561

    0.0298736561

    0.0534136561

    0.0590436561

    0.0575360105

    0.0573460774

    0.0499699858

    0.0515100925

    0.0512800693

    0.0569017291

    0.0570239305

    0.0550255992

    0.0516675067

    0.0587671901

    0.0567227491

    0.0561101776

    0.0583831077

    0.0535381355

    0.0544310191

    0.0508745612

    0.0467420265

    0.0494277926

    0.0478987155

    0.0538016152

    0.0481815196

    0.0468432194

    0.0463383002

    0.0462420023

    0.0424491973

    0.0473980462

    0.0471277111

    0.0457719447

    0.0396618025

    Trading Day Around Event Date

    CAAR

    00

    -0.00194435120.0002217697

    -0.0007112947-0.0006169089

    -0.0007577232-0.0041778382

    -0.0038415991-0.0066341921

    -0.0064576357-0.0092888468

    -0.0098942285-0.0073883569

    -0.0158803521-0.0132847469

    -0.0196219845-0.0157037205

    -0.0178852121-0.0093533787

    -0.0218842539-0.0115215893

    -0.0220196559-0.0185756658

    -0.0170347973-0.0288844134

    -0.0160648093-0.0252297289

    -0.0198998471-0.0110136111

    -0.0147007519-0.0107952691

    -0.0140688394-0.0103525664

    -0.0188024931-0.0058402739

    -0.0175061468-0.0077170702

    -0.0154931468-0.0106400467

    -0.0028697366-0.0130994097

    -0.0026684366-0.0147182937

    -0.0046814366-0.0110796784

    -0.0108827366-0.012199331

    -0.0088431726-0.0111894653

    -0.0075022966-0.012495142

    -0.0061222956-0.0070338363

    0.0032123044-0.0013638363

    0.01412352090.0073102637

    0.03558584750.0285457317

    0.06113225950.0497131963

    0.07349572490.0503432553

    0.07113964990.0437592899

    0.08047456080.0465446135

    0.0707799440.0460987568

    0.07562456780.0477434398

    0.07363730990.0531144897

    0.075379350.0576608335

    0.07554088990.0561007993

    0.06844284770.0483321682

    0.0669651940.0463857881

    0.07105944580.0427970841

    0.07013719040.0424764723

    0.07684973340.0438630861

    0.08096163340.0417275088

    0.07606636720.0385088671

    0.07425524670.0447743839

    0.07608305130.0395859159

    0.07072214410.0280103405

    0.07365174720.0258035548

    0.06612524840.0311780326

    0.07283119470.0288761677

    0.07156530510.0252636891

    0.06791031760.0195919309

    0.07421739660.0146845198

    0.07806392420.0161833524

    0.07516994090.0182532212

    0.07376710690.0286479743

    0.07703463690.0229345878

    0.07578868290.0215634842

    0.07588931930.0117830843

    Multi Rumors

    Single Rumors

    Trading Day Around Event Date

    CAAR

    00

    -0.0005498626-0.0102298626

    0.0019705912-0.0073894088

    -0.0057559304-0.0047959304

    -0.0026806576-0.0114006576

    -0.0060147714-0.0144147714

    -0.011187563-0.0109267563

    -0.0136144332-0.0013744332

    -0.0157404963-0.0031804963

    -0.0110931698-0.010821317

    -0.0132213719-0.0000213719

    -0.0140994903-0.0005794903

    -0.01132531720.0007485317

    -0.0064271960.002267196

    -0.00514996770.0006699677

    -0.0028619804-0.0062032271

    -0.0026721303-0.005693377

    -0.0040580623-0.006759309

    -0.0087427726-0.0059212467

    -0.0099909163-0.0039082467

    -0.012527373-0.0027069467

    -0.0095097771-0.0006939467

    -0.0145080315-0.0073485107

    -0.0109708988-0.0053355107

    -0.0142593439-0.0021342107

    -0.0124193439-0.0018140807

    -0.0085463439-0.0030605008

    -0.00105634390.0024049956

    0.00852365610.011394461

    0.02987365610.0205100884

    0.05341365610.0396930933

    0.05904365610.0308214455

    0.05753601050.0346091152

    0.05734607740.0297536198

    0.04996998580.0261538477

    0.05151009250.0256760846

    0.05128006930.0292386201

    0.05690172910.032602009

    0.05702393050.0293435003

    0.05502559920.0296034148

    0.05166750670.0284220627

    0.05876719010.0325640767

    0.05672274910.0313644376

    0.05611017760.0281958984

    0.05838310770.034352392

    0.05353813550.0286532895

    0.05443101910.0249971934

    0.05087456120.0242409613

    0.04674202650.0176324543

    0.04942779260.0206998022

    0.04789871550.0194917779

    0.05380161520.0175691632

    0.04818151960.0160029737

    0.04684321940.0150466431

    0.04633830020.0211184548

    0.04624200230.0176649122

    0.04244919730.0176439145

    0.04739804620.0167963882

    0.04712771110.0153026009

    0.04577194470.0149103605

    0.03966180250.0129377789

    Initial Rumors

    Subsequent Rumors

    Trading Day Around Event Date

    CAAR

    00

    -0.00647220070.0044802206

    -0.00959695440.0094519692

    -0.01528559880.0027643868

    -0.00991394150.0064788427

    -0.0152419625-0.0035677449

    -0.0179235981-0.0051409341

    -0.0185324989-0.0071498947

    -0.0133344931-0.0098641578

    -0.0163315171-0.0088044088

    -0.0212120398-0.0122637991

    -0.015359299-0.0120121709

    -0.0152582677-0.0171495175

    -0.0072550529-0.0197046043

    -0.0131453306-0.0049789773

    -0.0151558194-0.00542937

    -0.0200543296-0.0028210753

    -0.0173999644-0.0073479683

    -0.0262457115-0.0060225616

    -0.0202383861-0.0083937564

    -0.0307241914-0.0058314336

    -0.0200571334-0.008507647

    -0.0230929354-0.0105012429

    -0.0239789204-0.0089585873

    -0.0291773288-0.0081274683

    -0.0230771757-0.0059448162

    -0.0155307783-0.0089812676

    -0.0002885353-0.0054265836

    0.01897686470.0008524041

    0.03886916960.0232178695

    0.06643718770.0430743295

    0.07504110880.0461102135

    0.07332266240.044390406

    0.07240914310.040004164

    0.0710477460.0338225107

    0.08471205090.0342259277

    0.08544334210.0353652485

    0.09840350350.0356499996

    0.09657402170.0353390132

    0.09382297790.0366992806

    0.085273980.0398313867

    0.08663708220.0392005866

    0.08842271840.0361109573

    0.08982573180.0354569573

    0.09158633650.0351810308

    0.08995118530.0332512429

    0.09030324020.0292170256

    0.08283832840.0292267598

    0.08690670850.0238656489

    0.08887063740.0222915928

    0.09402501620.0216677079

    0.09483511870.0179330453

    0.09709920990.0142217772

    0.10269647370.0125964536

    0.10872457510.0124657191

    0.11472097410.0125605703

    0.11122015260.0108063423

    0.11374750550.0126352599

    0.11405565370.0127125221

    0.11355107170.0112939298

    0.11294557620.0070354001

    True Rumors

    False Rumors

    Trading Day Around Event Date

    CAAR

    "

    AARCAARAARCAARAARCAARAARCAARAARCAARAARCAAR

    -300.000%0.000%0.000%00.000%000.000%-0.179%00.000%0.000%

    -29-0.055%-0.055%-0.194%-0.194%0.022%0.022%-1.023%-1.023%-0.647%-0.647%0.448%0.448%

    -280.252%0.197%0.123%-0.071%-0.084%-0.062%0.284%-0.739%-0.312%-0.960%0.497%0.945%

    -27-0.773%-0.576%-0.005%-0.076%-0.356%-0.418%0.259%-0.480%-0.569%-1.529%-0.669%0.276%

    -260.308%-0.268%-0.308%-0.384%-0.246%-0.663%-0.660%-1.140%0.537%-0.991%0.371%0.648%

    -25-0.333%-0.601%-0.262%-0.646%-0.265%-0.929%-0.301%-1.441%-0.533%-1.524%-1.005%-0.357%

    -24-0.517%-1.119%-0.344%-0.989%0.190%-0.739%0.349%-1.093%-0.268%-1.792%-0.157%-0.514%

    -23-0.243%-1.361%-0.599%-1.588%-0.590%-1.328%0.955%-0.137%-0.061%-1.853%-0.201%-0.715%

    -22-0.213%-1.574%-0.374%-1.962%-0.242%-1.570%-0.181%-0.318%0.520%-1.333%-0.271%-0.986%

    -210.465%-1.109%0.174%-1.789%0.635%-0.935%-0.764%-1.082%-0.300%-1.633%0.106%-0.880%

    -20-0.213%-1.322%-0.400%-2.188%-0.217%-1.152%1.080%-0.002%-0.488%-2.121%-0.346%-1.226%

    -19-0.088%-1.410%-0.014%-2.202%-0.705%-1.858%-0.056%-0.058%0.585%-1.536%0.025%-1.201%

    -180.277%-1.133%0.498%-1.703%-1.031%-2.888%0.133%0.075%0.010%-1.526%-0.514%-1.715%

    -170.490%-0.643%0.097%-1.606%0.365%-2.523%0.152%0.227%0.800%-0.726%-0.256%-1.970%

    -160.128%-0.515%-0.384%-1.990%1.422%-1.101%-0.160%0.067%-0.589%-1.315%1.473%-0.498%

    -150.229%-0.286%0.520%-1.470%0.022%-1.080%-0.687%-0.620%-0.201%-1.516%-0.045%-0.543%

    -140.019%-0.267%0.063%-1.407%0.044%-1.035%0.051%-0.569%-0.490%-2.005%0.261%-0.282%

    -13-0.139%-0.406%-0.473%-1.880%0.451%-0.584%-0.107%-0.676%0.265%-1.740%-0.453%-0.735%

    -12-0.468%-0.874%0.130%-1.751%-0.188%-0.772%0.084%-0.592%-0.885%-2.625%0.133%-0.602%

    -11-0.125%-0.999%0.201%-1.549%-0.292%-1.064%0.201%-0.391%0.601%-2.024%-0.237%-0.839%

    -10-0.254%-1.253%1.262%-0.287%-0.246%-1.310%0.120%-0.271%-1.049%-3.072%0.256%-0.583%

    -90.302%-0.951%0.020%-0.267%-0.162%-1.472%0.201%-0.069%1.067%-2.006%-0.268%-0.851%

    -8-0.500%-1.451%-0.201%-0.468%0.364%-1.108%-0.665%-0.735%-0.304%-2.309%-0.199%-1.050%

    -70.354%-1.097%-0.620%-1.088%-0.112%-1.220%0.201%-0.534%-0.089%-2.398%0.154%-0.896%

    -6-0.329%-1.426%0.204%-0.884%0.101%-1.119%0.320%-0.213%-0.520%-2.918%0.083%-0.813%

    -50.184%-1.242%0.4557839980.134%-0.750%-0.131%-1.250%0.032%-0.181%0.610%-2.308%0.218%-0.594%

    -40.387%-0.855%0.95937577410.138%-0.612%0.546%-0.703%-0.125%-0.306%0.755%-1.553%-0.304%-0.898%

    -30.749%-0.106%1.85533812240.933%0.321%0.567%-0.136%0.547%0.240%1.524%-0.029%0.355%-0.543%

    -20.958%0.852%2.3730492941.091%1.412%0.867%0.731%0.899%1.139%1.927%1.898%0.628%0.085%

    -12.135%2.987%5.28858062922.146%3.559%2.124%2.855%0.912%2.051%1.989%3.887%2.237%2.322%

    02.354%5.341%5.83106267032.555%6.113%2.117%4.971%1.918%3.969%2.757%6.644%1.986%4.307%

    10.563%5.904%1.39459995051.236%7.350%0.063%5.034%-0.887%3.082%0.860%7.504%0.304%4.611%

    2-0.151%5.754%-0.236%7.114%-0.658%4.376%0.379%3.461%-0.172%7.332%-0.172%4.439%

    3-0.019%5.735%0.933%8.047%0.279%4.654%-0.486%2.975%-0.091%7.241%-0.439%4.000%

    4-0.738%4.997%-0.969%7.078%-0.045%4.610%-0.360%2.615%-0.136%7.105%-0.618%3.382%

    50.154%5.151%0.484%7.562%0.164%4.774%-0.048%2.568%1.366%8.471%0.040%3.423%

    6-0.023%5.128%-0.199%7.364%0.537%5.311%0.356%2.924%0.073%8.544%0.114%3.537%

    70.562%5.690%0.174%7.538%0.455%5.766%0.336%3.260%1.296%9.840%0.028%3.565%

    80.012%5.702%0.016%7.554%-0.156%5.610%-0.326%2.934%-0.183%9.657%-0.031%3.534%

    9-0.200%5.503%-0.710%6.844%-0.777%4.833%0.026%2.960%-0.275%9.382%0.136%3.670%

    10-0.336%5.167%-0.148%6.697%-0.195%4.639%-0.118%2.842%-0.855%8.527%0.313%3.983%

    110.710%5.877%0.409%7.106%-0.359%4.280%0.414%3.256%0.136%8.664%-0.063%3.920%

    12-0.204%5.672%-0.092%7.014%-0.032%4.248%-0.120%3.136%0.179%8.842%-0.309%3.611%

    13-0.061%5.611%0.671%7.685%0.139%4.386%-0.317%2.820%0.140%8.983%-0.065%3.546%

    140.227%5.838%0.411%8.096%-0.214%4.173%0.616%3.435%0.176%9.159%-0.028%3.518%

    15-0.484%5.354%-0.490%7.607%-0.322%3.851%-0.570%2.865%-0.164%8.995%-0.193%3.325%

    160.089%5.443%-0.181%7.426%0.627%4.477%-0.366%2.500%0.035%9.030%-0.403%2.922%

    17-0.356%5.087%0.183%7.608%-0.519%3.959%-0.076%2.424%-0.746%8.284%0.001%2.923%

    18-0.413%4.674%-0.536%7.072%-1.158%2.801%-0.661%1.763%0.407%8.691%-0.536%2.387%

    190.269%4.943%0.293%7.365%-0.221%2.580%0.307%2.070%0.196%8.887%-0.157%2.229%

    20-0.153%4.790%-0.753%6.613%0.537%3.118%-0.121%1.949%0.515%9.403%-0.062%2.167%

    210.590%5.380%0.671%7.283%-0.230%2.888%-0.192%1.757%0.081%9.484%-0.373%1.793%

    22-0.562%4.818%-0.127%7.157%-0.361%2.526%-0.157%1.600%0.226%9.710%-0.371%1.422%

    23-0.134%4.684%-0.365%6.791%-0.567%1.959%-0.096%1.505%0.560%10.270%-0.163%1.260%

    24-0.050%4.634%0.631%7.422%-0.491%1.468%0.607%2.112%0.603%10.872%-0.013%1.247%

    25-0.010%4.624%0.385%7.806%0.150%1.618%-0.345%1.766%0.600%11.472%0.009%1.256%

    26-0.379%4.245%-0.289%7.517%0.207%1.825%-0.002%1.764%-0.350%11.122%-0.175%1.081%

    270.495%4.740%-0.140%7.377%1.039%2.865%-0.085%1.680%0.253%11.375%0.183%1.264%

    28-0.027%4.713%0.327%7.703%-0.571%2.293%-0.149%1.530%0.031%11.406%0.008%1.271%

    29-0.136%4.577%-0.125%7.579%-0.137%2.156%-0.039%1.491%-0.050%11.355%-0.142%1.129%

    30-0.611%3.966%0.010%7.589%-0.978%1.178%-0.197%1.294%-0.061%11.295%-0.426%0.704%

    0.002428 t big

    0.004037 t ALL

    -29,-6-1.426%-0.884%-1.119%-0.213%-2.918%-0.813%

    -5,-14.413%4.443%3.974%2.264%6.805%3.135%

    -30.749%0.933%0.567%0.547%1.524%0.355%

    -20.958%1.091%0.867%0.899%1.927%0.628%

    -12.135%2.146%2.124%0.912%1.989%2.237%

    02.354%2.555%2.117%1.918%2.757%1.986%

    +10.563%1.236%0.063%-0.887%0.860%0.304%

    +1,+30-1.375%1.476%-3.793%-2.676%4.651%-3.604%

    2: 1227

    Time IntervalAAR (%)PAAR(%)TAARCAAR (%)TCAAR

    -29,-6-0.05947-0.147-1.426-0.721244.8989794856

    -5,-10.883622.1864.4134.889sd * 10052.2360679775

    -30.749631.8550.7491.8550.403711

    -20.958712.3730.9582.37311

    -12.135785.2892.1355.28911

    02.354835.8312.3545.83111

    +10.563551.3950.5631.39511

    +1,+30-0.04645-0.114-1.375-0.622305.4772255751

    - PAAR (%) AAR .

    3: 755 - 472 .

    Single RumorsMulti Rumors

    Time IntervalAAR (%)PAAR(%)TAARCAAR (%)TCAARAAR (%)PAAR(%)TAARCAAR (%)TCAARsd * 100 P

    -29,-6-0.04746-0.125-1.119-0.613-0.03748-0.081-0.884-0.398244.8989794856-1.02947

    -5,-10.795612.1323.9744.7680.889641.9614.4434.3840.37271165460.453213213252.23606797754.15462

    -30.567611.5210.5671.5210.933652.0600.9332.060110.70863

    -20.867702.3270.8672.3271.091742.4081.0912.408110.95372

    -12.124805.6982.1245.6982.146764.7362.1464.736112.13278

    02.117815.6792.1175.6792.555865.6372.5555.637112.28583

    +10.063510.1690.0630.1691.236632.7281.2362.728110.51456

    +1,+30-0.12646-0.339-3.793-1.8580.049430.1091.4760.594305.4772255751-1.76645

    4: 1227 - 472 .

    Time IntervalAAR (%)PAAR(%)TAARCAAR (%)TCAARAAR (%)PAAR(%)TAARCAAR (%)TCAARsd * 100

    -29,-6-0.05947-0.147-1.426-0.721-0.00944-0.020-0.213-0.096244.8989794856

    -5,-10.883622.1864.4134.8890.453530.9992.2642.2340.453213213252.23606797751.8111.4142135624

    -30.749631.8550.7491.8550.547561.2060.5471.206112.8247706709

    -20.958712.3730.9582.3730.899591.9830.8991.98311

    -12.135785.2892.1355.2890.912632.0110.9122.01111

    02.354835.8312.3545.8311.918684.2331.9184.23311

    +10.563551.3950.5631.395-0.88742-1.957-0.887-1.95711

    +1,+30-0.04645-0.114-1.375-0.622-0.08946-0.197-2.676-1.078305.4772255751

    5: 396 - 831 .

    Time IntervalAAR (%)PAAR(%)TAARCAAR (%)TCAARAAR (%)PAAR(%)TAARCAAR (%)TCAARsd * 100 P

    -29,-6-0.12246-0.282-2.918-1.381-0.03447-0.088-0.813-0.429244.8989794856-1.49247

    -5,-11.361643.1556.8057.0550.627611.6223.1353.6270.43137271170.386453213252.23606797754.31962

    -31.524653.5331.5243.5330.355620.9200.3550.920110.73363

    -21.927814.4661.9274.4660.628661.6250.6281.625111.04771

    -11.989784.6111.9894.6112.237775.7872.2375.787112.15777

    02.757856.3912.7576.3911.986825.1381.9865.138112.23583

    +10.860571.9950.8601.9950.304540.7860.3040.786110.48355

    +1,+300.155480.3594.6511.968-0.12043-0.311-3.604-1.703305.4772255751-0.94045

    0.4009504597

  • * 4: .

  • 18: . 17: - CAAR .

    63%30%69%21%

    2

    0.085

    0.02

    0.015

    0.06

    0.042

    0.061

    0.077

    0.056

    0.044

    0.095

    0.043

    0.048

    0.038

    0.04

    0.033

    0.021

    0.022

    0.015

    0.024

    0.008

    0.021

    0.018

    0.11

    gjh

    CAAR

    Frequency

    CAAR Performance in Pre Event Period All 1227 Rumors

    -43%0.20%

    -36%0.41%

    -213%0.80%

    -138%2.44%

    040%2.55%

    6.4%

    AARFrequencyFrequencyFrequency

    -6%4%9%5%

    -5%2%3%2%

    -4%3%2%4%

    -3%3%6%5%

    -2%4%5%11%

    -1%8%4%12%

    0%11%7%13%

    1%16%8%12%

    2%9%6%9%

    3%8%5%6%

    4%7%8%5%

    5%4%5%3%

    6%4%4%2%

    7%2%4%1%

    8%2%4%2%

    9%1%2%0%

    10%2%2%1%

    11%1%1%2%

    12%0%2%0%

    13%1%0%1%

    14%1%2%0%

    15%1%2%1%

    up 15%6%10%3%

    100%100%100%

    Frequency

    -6%9%

    -5%2%

    -4%2%

    -3%6%

    -2%4%

    -1%6%

    0%8%

    1%6%

    2%4%

    3%10%

    4%4%

    5%5%

    6%4%

    7%4%

    8%3%

    9%2%

    10%2%

    11%2%

    12%2%

    13%1%

    14%2%

    15%2%

    up 15%11%

    100%

    0000

    0000

    0000

    0000

    0-0.001302083330

    0-0.001302083330

    0-0.003726226530

    0-0.004543969830

    0-0.007823725130

    0-0.007297962840

    0-0.004415970173

    0-0.003636352884

    0-0.0052062115114

    0-0.0031625839114

    0-0.003427438124

    0-0.0040810328134

    0-0.0034248648134

    0-0.00277127134

    0-0.0030008385134

    0-0.0029690804134

    0-0.0022970867134

    00.0041414325164

    00.0024036392164

    -0.00333333330.003501384184

    0.00001114830.0071504505317

    -0.00165551840.0041311079327

    0.00335282890.0043715774347

    0.00036137590.0050661375398

    -0.00049846940.0064644361408

    0.00835610550.00695231064210

    0.00960521090.00624719824310

    0.00922007070.00717683844610

    0.00880409730.01026826034710

    0.00857809040.01135961375210

    0.00841774080.00937194655410

    0.00727557220.01088739585710

    0.00684240660.01345689097412

    0.00531133840.01503789917614

    0.00765200770.01515163247814

    0.01611540250.01491532058115

    0.02056292910.0153900718817

    0.02374898930.01709599879317

    0.02538035520.01717018429617

    0.02369439760.019034610610017

    0.02497919420.018028605610418

    0.0214538990.018431358210518

    0.027307710.01966742910919

    0.02591570890.02031873411419

    0.02346536470.020603993112225

    0.02384331270.021465115712325

    0.02199950060.021885825512625

    0.0205141960.021788189212725

    0.02533516270.021824763512825

    0.02613571320.022771820713225

    0.02460673070.024211881813726

    0.02405701750.024397018614027

    0.02198752290.023880087414127

    0.02323302070.023685109814729

    0.02476399540.024851010214829

    0.02705690280.026381424915229

    0.02711633680.026310576115332

    0.02784892970.026570113915632

    0.02627717910.028062941315632

    0.02727194510.029282014215632

    0.0334349050.030110673915732

    0.03356751580.030892625316232

    0.03314852780.031649198616332

    0.03082379850.031964664916433

    0.03409797870.033392351916534

    0.03775258240.033548432716734

    0.0363348160.034835172416835

    0.0373241710.035237269717035

    0.03978076480.035847524820434

    0.0405563460.036129006920635

    0.04324760780.036299248321335

    0.04324403430.036391102821736

    0.04485099890.037713737621936

    0.05191622930.038770756322436

    0.05091040850.038569296722436

    0.05407487580.04019849822736

    0.05418840170.041491202723036

    0.05320481940.041700097423437

    0.05195647150.043379543623637

    0.05225337310.044076657723937

    0.04954035960.044611054823141

    0.049711220.044948604823541

    0.0513655480.045979433724344

    0.05257871650.047006310125044

    0.0515778560.047265359425445

    0.04915143250.047947831925445

    0.04660002910.048982448825645

    0.04795054570.049030626925646

    0.05112744960.049703127625946

    0.04981817450.050040970926046

    0.04674058130.050768917326246

    0.04878100010.051456664926446

    0.05386519460.051209623426249

    0.05799616410.051127111826249

    0.06121698610.050667588126149

    0.06239276610.05128985826149

    0.06253599150.05121702625949

    0.05901946870.050437049825949

    0.06628276040.050733569225749

    0.06778282110.050017705425649

    0.06764856420.050372163325348

    0.0623733370.050815558825347

    0.06544017750.05048876625145

    0.06521510770.050183662125145

    0.0682120760.05028265125247

    0.06842761220.050348788625047

    0.06823678690.05059956824647

    0.06497448750.050253600824347

    0.06237603650.050936810724147

    0.06474210840.050997996723847

    0.06930149670.051246731523446

    0.06441210540.051967439623246

    0.0638672980.051813796122645

    0.06396231120.05146377122445

    0.06397568990.051736216222245

    0.06372265510.05227440221845

    0.06431237270.051462091721140

    0.06276942830.052297876320438

    0.06503543940.052674150820137

    0.06264947980.053132288719837

    0.06119461210.052590832319737

    0.06599454690.052496117819537

    0.0661565020.052221062519337

    0.06169568830.052763325919137

    0.06002021280.052751799618936

    0.06188237240.051947177618636

    0.06314414650.052151857517936

    0.06153418960.052147151217836

    0.06190988030.052385728417624

    0.06109685070.053426967317324

    0.06175369450.054570378517023

    0.06333454390.055544928816723

    0.06289515390.055297934816123

    0.06141979640.055483341716122

    0.06593249530.055067624716022

    0.06768753240.055221447215822

    0.06792429730.054802793615722

    0.06776772620.054232098515521

    0.06815385810.055201879615321

    0.06036751920.055733163815120

    0.06154684530.055287579712719

    0.06565405010.055343965312718

    0.0644253910.055365259412318

    0.05814311440.054457674112017

    0.05782941170.055114639511717

    0.0658443320.056082717911617

    0.05772776480.054860430211617

    0.05882219280.05522814711316

    0.06724473710.054783099610716

    0.06360049380.055473989410416

    0.0696566570.056531508710116

    0.06598997050.056055898910116

    0.06452972590.05736397758713

    0.06517433410.05560687728113

    0.06362149440.05598564677813

    0.06175604250.05533091117713

    0.05890212660.05576554017213

    0.06269613620.05498786166913

    0.06374219610.05536115146412

    0.06060274410.05576301315710

    0.06318402750.05496491985210

    0.06638498970.0553612484310

    0.06758519960.05538093554210

    0.05758519960.0566502396408

    0.06489612710.0540758175438

    0.06489612710.0550198287437

    0.0654115910.0566585481417

    0.06386679180.0565653258387

    0.06386679180.0561208203317

    0.06438332080.0576155886247

    0.06438332080.0562822553226

    0.06897943830.0579601076185

    0.06938332080.0551823298145

    0.06438332080.0559313935115

    0.06438332080.057426161895

    0.06843833210.057426161885

    0.06438332080.057426161872

    Merger

    No Merger

    Count NM

    Count M

    Time

    CAAR

    Count Number

    IntraDay - True and False Rumors

    Leakage of Information - All 432 Rumors

    000

    -0.0044237035-0.0043037035-0.0050960035

    -0.0010828946-0.0008428946-0.0024274946

    -0.0059859457-0.0056259457-0.0080028457

    -0.0036158589-0.0031358589-0.0063050589

    -0.0027334442-0.0021334442-0.0060949442

    -0.0038044118-0.0030844118-0.0078382118

    -0.006450569-0.005610569-0.011156669

    -0.009765972-0.008805972-0.015144372

    -0.0080075111-0.0069275111-0.0140582111

    -0.0105244776-0.0093244776-0.0172474776

    -0.0060707422-0.0047507422-0.0134660422

    -0.0067713926-0.0053313926-0.0148389926

    -0.0058511393-0.0042911393-0.0145910393

    -0.0018943029-0.0002143029-0.0113065029

    0.00013588710.0019358871-0.0099486129

    0.00182513960.0037451396-0.0089316604

    0.01058514830.0126251483-0.0008439517

    0.00572146810.0078814681-0.0060510619

    0.00364373430.0059237343-0.0084722257

    0.00342858930.0058285893-0.0090308007

    0.00277516390.0052951639-0.0100276561

    0.00111055220.0037505522-0.0120356978

    0.00025883510.0030188351-0.0132308449

    0.00078022710.0036602271-0.0130528829

    -0.00186791530.0011320847-0.0160444553

    0.00011762150.0027320847-0.0136444553

    0.00421762150.0067320847-0.0086444553

    0.01221762150.0138550847-0.0021744553

    0.03661762150.03835508470.0225255447

    0.06461762150.06655508470.0504255447

    0.06935069330.07155508470.0543255447

    0.06731173060.06955508470.0518255447

    0.06454997730.06725508470.0488255447

    0.0600623810.06295508470.0438255447

    0.06614720760.06905508470.0488255447

    0.0675275330.07055961010.0495558701

    0.06509520730.06825148430.0464735443

    0.06331336740.06659384450.0440417045

    0.06131336740.06471804450.0413917045

    0.06237134620.06590022320.0417996832

    0.06215014910.06580322610.0409284861

    0.06315014910.06692742610.0412784861

    0.05998220140.06388367850.0374605385

    0.05946283710.06348851420.0362911742

    0.05517447570.05932435280.0313528128

    0.05417447570.05844855280.0297028128

    0.05257447570.05697275280.0274528128

    0.0482950690.05281754610.0225234061

    0.04941972330.05406640030.0229980603

    0.04942515470.05419603170.0223534917

    0.05186778770.05676286480.0241461248

    0.04477114320.04979042030.0163994803

    0.04153941380.04668289090.0125177509

    0.03903763180.04430530890.0093659689

    Risk

    Market

    Mean

    Trading Day Around Rumor Date

    CAAR

    CAAR - ALL 432 Rumors

    00

    -0.0027409310.0025590413

    0.0051210.0063029103

    0.02038098970.013218412

    0.04777417240.035653632

    0.08518258620.0609727637

    0.13468914140.060856681

    0.15230468280.0566100324

    0.14973757930.0538246605

    0.1447972690.0493919961

    0.14416285520.0562921279

    0.14658109660.0575465138

    0.14765347590.0546889309

    0.13868782070.0537787674

    0.13643621350.0464637959

    0.13848185640.0474060651

    0.13279671350.0478249955

    0.12336689210.046563701

    0.1148315350.0440245711

    0.1134392850.0436074696

    0.11215949930.0389666391

    0.11235392780.0323601781

    0.11758807070.0248131889

    0.11184835640.0207048642

    0.12378692780.020562616

    0.13036767780.0197977172

    0.12995607070.0210754193

    0.12526532070.0136969127

    0.12589535640.0100127589

    0.13184471350.0065208853

    True -Risk

    False -Risk

    Trading Day Around Rumor Date

    CAAR

    CAAR - True and False Rumors

    -0.0027409310.0025590413

    0.0078619310.0037438691

    0.01525998970.0069155016

    0.02739318280.02243522

    0.03740841380.0253191317

    0.0495065552-0.0001160827

    0.0176155414-0.0042466485

    -0.0025671034-0.002785372

    -0.0049403103-0.0044326644

    -0.00063441380.0069001319

    True -Risk

    False -Risk

    Trading Day Around Rumor Date

    AAR

    AAR - True and False Rumors

    -0.0027409310.0025590413

    0.0078619310.0037438691

    0.01525998970.0069155016

    0.02739318280.02243522

    0.03740841380.0253191317

    0.0495065552-0.0001160827

    0.0176155414-0.0042466485

    -0.0025671034-0.002785372

    -0.0049403103-0.0044326644

    -0.00063441380.0069001319

    True - Market

    False - Market

    Trading Day Around Rumor Date

    AAR

    AAR - True and False Rumors

    0

    -0.0052999723

    -0.0011819103

    0.0071625777

    0.0121205405

    0.0242098225

    0.0738324604

    0.0956946503

    0.0959129188

    0.0954052729

    0.0878707272

    0.0890345828

    0.0929645449

    0.0849090533

    0.0899724176

    0.0910757913

    0.084971718

    0.0768031912

    0.0708069638

    0.0698318154

    0.0731928602

    0.0799937497

    0.0927748818

    0.0911434922

    0.1032243118

    0.1105699606

    0.1088806514

    0.111568408

    0.1158825975

    0.1253238282

    Trading Day Around Rumor Date

    CAAR

    CAAR - The Different Between True and False Rumors

    AAR

    AAR

    Frequency

    AAR Performance in The Event Day - All Rumors

    CAAR

    CAAR

    Frequency

    CAAR Performance in The Pre Event Period - All Rumors

    AAR

    AAR

    Frequency

    One Day Post Event AAR Performance - All Rumors

    gjh

    CAAR

    Frequency

    CAAR Performance in Pre Event Period All 432 Rumors

    2.1

    , - t , 432 .

    '

    Risk AdjustedMarket AdjustedMean AdjustedModel AverageS.D.

    AAR(%)t - ValueCAR(%)AAR(%)t - ValueCAR(%)AAR(%)t - ValueCAR(%)AAR(%)CAR(%)ALLMARKET0.0021131598

    -40.20%1.010.20%0.16%0.740.16%0.24%1.030.24%0.20%0.21%RISK0.0021987216

    -30.41%1.940.61%0.40%1.820.56%0.50%2.150.74%0.44%0.64%MEAN0.0023300971

    -20.80%3.791.41%0.71%3.241.27%0.65%2.781.39%0.72%1.36%

    -12.44%11.553.85%2.45%11.143.72%2.47%10.603.86%2.45%3.81%

    02.80%13.256.65%2.82%12.836.54%2.79%11.976.65%2.80%6.61%

    10.47%2.247.12%0.50%2.277.04%0.39%1.677.04%0.45%7.07%

    2-0.20%-0.966.92%-0.20%-0.916.84%-0.25%-1.076.79%-0.22%6.85%

    3-0.28%-1.316.64%-0.23%-1.056.61%-0.30%-1.296.49%-0.27%6.58%

    4-0.45%-2.126.19%-0.43%-1.966.18%-0.50%-2.155.99%-0.46%6.12%

    50.61%2.886.80%0.61%2.776.79%0.50%2.156.49%0.57%6.69%

    '

    Risk AdjustedMarket AdjustedMean AdjustedModel Average

    Time IntervalCAR(%)t - ValueCAR(%)t - ValueCAR(%)t - ValueCAR(%)

    -29,-5-0.2%-0.090.1%-0.02-1.6%-1.37-0.6%

    -4,-13.8%8.953.7%8.893.9%8.213.8%

    02.8%13.252.8%12.832.8%11.972.8%

    +10.5%2.240.5%2.270.4%1.670.5%

    +1,+24-2.6%-3.20-2.2%-3.28-4.1%-4.65-3.0%

    2.1: , - t , 341

    Abnormal Return, Cumulative Abnormal Rerurn andTable 2.1:

    t Statistics for the Sample, 341 First Site

    3.1

    - t , 432 (51 - 381 )

    Risk AdjustedMarket AdjustedMean AdjustedModel Average

    TRUEFALSETRUEFALSETRUEFALSETRUEFALSEMEANRISKMARKET

    Time IntervalCAR(%)t - ValueCAR(%)t - ValueCAR(%)t - ValueCAR(%)t - ValueCAR(%)t - ValueCAR(%)t - ValueCAR(%)CAR(%)

    -29,-50.5%0.520.1%0.101.0%0.950.0%0.000.7%0.58-1.5%-1.280.7%-0.5%0.00234869020.00241269840.00213114750.00209513020.00192134930.00192126445.025-29,-5

    -4,-14.8%12.433.6%9.284.8%11.553.6%8.455.3%10.983.4%7.245.0%3.5%2.04-4,-1

    03.7%19.472.5%13.183.7%17.662.6%12.23.8%15.752.6%11.073.7%2.6%1.010

    +15.0%25.77-0.0%-0.064.9%23.390.0%0.004.9%20.31-0.1%-0.434.9%-0.0%1.01+1

    +21.8%9.17-0.4%-2.211.9%8.83-0.4%-1.881.8%7.46-0.5%-2.131.8%-0.4%1.01+2

    +1,+244.7%4.96-5.4%-5.785.7%5.55-5.2%-4.982.6%2.20-7.3%-6.344.3%-6.0%4.924+1,+24

    4.2WSJFoolRagingbullSiliconinvestorYahoo

    : . 432 - SR ,. 278 - Y,0.00530019070.00287217740.0053210.00293502870.00298322095.025-29,-5

    . 340 - SI, . 149 - R , . 201 - F.2.04-4,-1

    StockRumorsYahooSiliconinvestorRagingbullFoolModel Average1.010

    Time IntervalCAR(%)t - ValueCAR(%)t - ValueCAR(%)t - ValueCAR(%)t - ValueCAR(%)t - ValueCAR(%)1.01+1

    -29,-5-0.2%-0.09-0.9%-0.60-0.9%-0.58-0.4%-0.150.7%0.49-0.3%4.924+1,+24

    -4,-13.8%8.951.1%1.881.7%2.960.3%0.241.8%3.171.8%

    02.8%13.251.1%3.821.7%5.661.0%1.951.8%6.201.7%

    +10.5%2.240.1%0.190.4%1.33-0.1%-0.170.2%0.600.2%

    +1,+24-2.6%-3.200.5%0.340.7%0.51-2.3%-0.870.3%0.19-0.7%

    4.4

    :

    . 432 - SR, . 39 - WSJ.

    StockRumorsWSJModel Average

    Time IntervalCAR(%)t - ValueCAR(%)t - ValueCAR(%)

    -29,-5-0.2%-0.09-0.6%-0.22-0.4%

    -4,-13.8%8.951.4%1.352.6%

    02.8%13.252.3%4.302.5%

    +10.5%2.24-0.0%-0.050.2%

    +1,+24-2.6%-3.20-0.8%-0.29-1.7%

    3.2

    , t

    311 (49 - 262 )

    True RumorsFalse Rumors

    CAR(%) t - ValueCAR(%) t - Value

    -70.0%4-0.5%11-0.77

    -6-0.3%7-0.720.7%310.85

    -50.7%121.111.4%741.55

    -42.4%253.222.1%1222.34

    -32.8%323.342.8%1533.00

    -24.0%344.543.6%2043.97

    -15.0%415.444.5%2314.91

    05.5%495.815.1%2625.60

    16.8%477.025.8%2525.47

    26.4%406.295.2%2115.26

    36.2%245.755.2%1765.60

    46.2%194.465.5%1275.86

    56.5%134.445.7%876.02

    66.5%84.925.4%435.66

    76.5%24.796.0%74.79

    3.3

    , t

    , 268 .

    Differnce

    Time intervalAVt-valueAVt-valueDVtt-value

    -5-0.09-0.91-0.17-1.850.080.23

    -4-0.01-1.01-0.12-1.300.020.06

    -30.090.92-0.06-0.670.160.44

    -20.323.210.00-0.010.320.91

    -10.555.480.181.900.371.05

    00.808.000.454.830.350.98

    11.2212.180.414.380.812.29

    21.3213.130.373.980.952.66

    31.3613.560.353.681.022.86

    41.1911.840.333.560.862.41

    51.2112.060.434.560.782.20

    all carall arcarar

    marketriskmeanmarketriskmeanMergerNo MergerMergerNo Merger

    -300.00%0.00%0.00%0.00%0.00%-1.35%-0.10%

    -29-0.44%-0.43%-0.51%-0.44%-0.43%-0.51%-1.04%-0.37%-1.04%-0.37%

    -28-0.11%-0.08%-0.24%0.33%0.35%0.27%-1.07%0.01%-0.03%0.38%

    -27-0.60%-0.56%-0.80%-0.49%-0.48%-0.56%-2.07%-0.42%-0.99%-0.43%

    -26-0.36%-0.31%-0.63%0.24%0.25%0.17%-1.38%-0.24%0.69%0.18%

    -25-0.27%-0.21%-0.61%0.09%0.10%0.02%-2.19%-0.04%-0.81%0.20%

    -24-0.38%-0.31%-0.78%-0.11%-0.10%-0.17%-2.28%-0.15%-0.09%-0.11%

    -23-0.65%-0.56%-1.12%-0.26%-0.25%-0.33%-1.63%-0.53%0.65%-0.38%

    -22-0.98%-0.88%-1.51%-0.33%-0.32%-0.40%-1.02%-0.97%0.61%-0.45%

    -21-0.80%-0.69%-1.41%0.18%0.19%0.11%-0.89%-0.79%0.13%0.18%

    -20-1.05%-0.93%-1.72%-0.25%-0.24%-0.32%-1.04%-1.05%-0.15%-0.26%

    -19-0.61%-0.48%-1.35%0.45%0.46%0.38%-0.05%-0.67%0.99%0.38%

    -18-0.68%-0.53%-1.48%-0.07%-0.06%-0.14%0.27%-0.79%0.32%-0.12%

    -17-0.59%-0.43%-1.46%0.09%0.10%0.02%-1.81%-0.44%-2.07%0.35%

    -16-0.19%-0.02%-1.13%0.40%0.41%0.33%1.13%-0.35%2.94%0.09%

    -150.01%0.19%-0.99%0.20%0.22%0.14%0.30%-0.02%-0.83%0.33%

    -140.18%0.37%-0.89%0.17%0.18%0.10%0.70%0.12%0.41%0.14%

    -131.06%1.26%-0.08%0.88%0.89%0.81%0.51%1.13%-0.20%1.01%

    -120.57%0.79%-0.61%-0.49%-0.47%-0.52%1.24%0.49%0.74%-0.64%

    -110.36%0.59%-0.85%-0.21%-0.20%-0.24%2.32%0.13%1.08%-0.36%

    -100.34%0.58%-0.90%-0.02%-0.01%-0.06%1.83%0.16%-0.49%0.04%

    -90.28%0.53%-1.00%-0.07%-0.05%-0.10%2.46%0.01%0.63%-0.15%

    -80.11%0.38%-1.20%-0.17%-0.15%-0.20%1.52%-0.06%-0.95%-0.07%

    -70.03%0.30%-1.32%-0.09%-0.07%-0.12%0.53%-0.04%-0.98%0.02%

    -60.08%0.37%-1.31%0.05%0.06%0.02%1.62%-0.11%1.09%-0.07%diferent t and f

    -5-0.19%0.11%-1.60%-0.26%-0.25%-0.30%0.00%0.00%-0.75%-0.21%0.00%0.00%

    -40.01%0.27%-1.36%0.20%0.16%0.24%-0.27%0.26%-0.3%0.3%-0.5%-0.5%

    -30.42%0.67%-0.86%0.41%0.40%0.50%0.51%0.63%0.8%0.4%0.4%-0.1%

    -21.22%1.39%-0.22%0.80%0.71%0.65%2.04%1.32%1.5%0.7%0.8%0.7%

    -13.66%3.84%2.25%2.44%2.45%2.47%4.78%3.57%2.7%2.2%0.5%1.2%

    06.46%6.66%5.04%2.80%2.82%2.79%8.52%6.10%3.7%2.5%1.2%2.4%

    16.94%7.16%5.43%0.47%0.50%0.39%13.47%6.09%5.0%-0.0%5.0%7.4%

    26.73%6.96%5.18%-0.20%-0.20%-0.25%15.23%5.66%1.8%-0.4%2.2%9.6%

    36.45%6.73%4.88%-0.28%-0.23%-0.30%14.97%5.38%-0.3%-0.3%0.0%9.6%

    46.01%6.30%4.38%-0.45%-0.43%-0.50%14.48%4.94%-0.5%-0.4%-0.1%9.5%

    56.61%6.91%4.88%0.61%0.61%0.50%14.42%5.63%-0.1%0.7%-0.8%8.8%

    66.75%7.06%4.96%0.14%0.15%0.07%14.66%5.75%0.24%0.13%0.1%8.9%

    76.51%6.83%4.65%-0.24%-0.23%-0.31%14.77%5.47%0.11%-0.29%0.4%9.3%

    86.33%6.66%4.40%-0.18%-0.17%-0.24%13.87%5.38%-0.90%-0.09%-0.8%8.5%

    96.13%6.47%4.14%-0.20%-0.19%-0.27%13.64%4.65%-0.23%-0.73%0.5%9.0%

    106.24%6.59%4.18%0.11%0.12%0.04%13.85%4.74%0.20%0.09%0.1%9.1%

    116.22%6.58%4.09%-0.02%-0.01%-0.09%13.28%4.78%-0.57%0.04%-0.6%8.5%

    126.32%6.69%4.13%0.10%0.11%0.04%12.34%4.66%-0.94%-0.13%-0.8%7.7%

    136.00%6.39%3.75%-0.32%-0.30%-0.38%11.48%4.40%-0.85%-0.25%-0.6%7.1%

    145.95%6.35%3.63%-0.05%-0.04%-0.12%11.34%4.36%-0.14%-0.04%-0.1%7.0%

    155.52%5.93%3.14%-0.43%-0.42%-0.49%11.22%3.90%-0.13%-0.46%0.3%7.3%

    165.42%5.84%2.97%-0.10%-0.09%-0.17%11.24%3.24%0.02%-0.66%0.7%8.0%

    175.26%5.70%2.75%-0.16%-0.15%-0.23%11.76%2.48%0.52%-0.75%1.3%9.3%

    184.83%5.28%2.25%-0.43%-0.42%-0.49%11.18%2.07%-0.57%-0.41%-0.2%9.1%

    194.94%5.41%2.30%0.11%0.12%0.05%12.38%2.06%1.19%-0.01%1.2%10.3%

    204.94%5.42%2.24%0.00%0.01%-0.06%13.04%1.98%0.66%-0.08%0.7%11.1%

    215.19%5.68%2.41%0.24%0.26%0.18%13.00%2.11%-0.04%0.13%-0.2%10.9%

    224.48%4.98%1.64%-0.71%-0.70%-0.77%12.53%1.37%-0.47%-0.74%0.3%11.2%

    234.15%4.67%1.25%-0.32%-0.31%-0.39%12.59%1.00%0.06%-0.37%0.4%11.6%

    243.90%4.43%0.94%-0.25%-0.24%-0.32%13.18%0.65%0.59%-0.35%0.9%12.5%

    marketriskmean

    -29,-5-0.19%0.11%-1.60%-29,-50.50%0.10%

    -4,-13.85%3.72%3.86%-4,-14.78%3.57%

    02.80%2.82%2.79%03.74%2.53%

    +10.47%0.50%0.39%+14.95%-0.01%

    +1,+24-2.56%-2.22%-4.11%+21.76%-0.42%

    +1,+244.67%-5.45%

  • * 6: - CAAR 1227 - 846 .CAAR(-5,0)=6.767%CAAR(-5,0)=3.729%

  • * 2: - CAAR 755 - 472 .CAAR(-5,0)=6.998%CAAR(-5,0)=6.091%

  • * 4: - CAAR 396 - 831 .CAAR(-5,0)=9.561%CAAR(-5,0)=5.120%CAAR(1,30)=4.651%CAAR(1,30)=-3.604%

  • * 9: .368 , 86 , - 773 .CAAR(-5,0)=7.441% CAAR(-5,0)=0.679% CAAR(-5,0)=-3.027%

    CAAR(1,30)=-2.331% CAAR(1,30)=2.303% CAAR(1,30)=3.236%

  • *

    .

    .

    .

    .

    , .

    .

  • *

  • 1: , , " . 2: , " , . 3: , , , , . 4: - 900% . 5: , , . 6: , , . ? . ( ' ' )

    *

  • * Wysocki (1999) Yahoo.Com, 3000 .

    Tumarkin (2000) - RagingBull.Com, 73 .

    Durand, Koh and Ng (2002) 88 .

    Trueman, Wong, and. Zhang (2003) , 403 .

    Benbunan and Fich (2004) , 373 .

    *-**Center for Research in Security Prices * 271 , 60 .*CAAR(-2,-1)=2.35%, AAR(0)=1.72% CAAR(-2,0)=4.07%

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