A Comparison of Alternative Expected Return Estimation Models for Event Studies: A Simulation Approach

事件研究法之預期報酬估計模式之比較：模擬法之使用

劉永欽 ； 陳香如

《亞太經濟管理評論》 13卷2期 (2010/03) Pp. 89-124

https://doi.org/10.30087/APEMR.201003.0005

摘要

本文以模擬實驗法比較四種預期報酬模式(市場模式(MM)、CAPM、三因子模式(3FM)及四因子模式(4FM))分別搭配OLS 估計式、GARCH 模式及其與OLS 混合在短期事件研究法中偵測異常報酬的能力。另外，也使用Jensen's績效指標來評估上述後三種模式。研究發現：在傳統法架構下，OLS法並不比另兩種較複雜的估計式差；3FM 與4FM 略優於MM和CAPM，因其有較低的估計偏誤和較小的型－錯誤，但其實MM和CAPM已有不錯的表現。在Jensen's績效指標架構下，CAPM優於3FM和4FM，因其有較低的型－錯誤和較高的檢定力。但當事件日不確定及（或）異常報酬很小時，兩種架構的檢定力均偏弱。

關鍵字

事件研究法 ； 三因子模式 ； 四因子模式 ； Jensen's績效指標 ； GARCH

並列摘要

This paper compares the performance of four expected return estimation models-the MM, CAPM, 3FM, and 4FM-separately using OLS estimator, GARCH model, and mix of OLS and GARCH-for finding AR in traditional short-horizon event study, using simulation experiments. Moreover, Jensen's performance index is employed to evaluate the last three models. The conclusions are that under a traditional framework, OLS is not inferior to the other complex estimators. 3FM and 4FM somewhat dominate the MM and CAPM because of lower estimation bias and slightly smaller Type I error, though the last two models' performance is already satisfactory. Under Jensen's performance index, CAPM is superior to 3FM and 4FM due to lower Type I error and higher power. Both event-study frameworks have weak power in experiencing uncertain event day and/or tiny AR.

並列關鍵字

Event Study ； Three-Factor Model 3FM ； Four-Factor Model 4FM ； Jensen's Performance Index ； GARCH

參考文獻

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