本文研究自1997年至2007年，dotcom公司更名之長期與短期宣告效應，樣本包括名稱增加dotcom或剔除dotcom的兩類公司。過去文獻指出dotcom公司更名在-30天到+30天期具有顯著為正的累積超額報酬。與以往文獻不同，我們關心dotcom公司更名帶來的正報酬是否能持續，抑或宣告後的效果終將轉為負報酬，減損股東財富。實證結果顯示，雖然在事件日出現顯著3.14%的正累積超額報酬，但120天與360天事件窗口累積超額報酬均為顯著負值，分別為-55.52%與 -156.09%，所以dotcom公司更名的妝飾效果(cosmetic effect)為暫時的現象。故在長期，投資人若在網路熱潮時期買進新增dotcom於其名稱的公司的股票，損失很可能會隨著時間而擴大。此外，我們也發現更名公司的基本價值(fundamental values)在更名的前後兩年並無顯著差異，因此投資人對於股價的反應僅基於情緒(sentiment)，而非出於他們對基本價值的觀察。另一方面，研究樣本公司在 I/B/E/S資料庫中的一致性分析師盈餘預測，發現分析師對此類更名公司的下一季盈餘預測往下修正，但此下修應屬系統性現象。在預測誤差方面，分別探討網路熱潮期與冷卻期的預測誤差後，發現後者為-$0.2650，具有10%顯著水準。故可推論此時期分析師所掌握的資訊較為不足，或是來自世界各地的分析師意見不一致。此外，由於分析師盈餘預測可代表投資人對市場的預期，故在網路冷卻期，投資人對更名公司股價的反應是不理性的。 / This paper investigates long-term versus short-term effects of dotcom corporate name changes from 1997 to 2007. The sample contains a combination of name change events on which firms add dotcom to, or remove dotcom from their names. We attempt to examine whether announcement effects of dotcom name changes last long, or are prevailed by post-announcement negative drift eventually. On the announcement date, we find firms earn significant abnormal returns on the order of 3.14%. However, firms yield negative CARs over the 120- and 360- day window, which are -55.52% and -156.09%, respectively. These results suggest that firms can create shareholder’s wealth by dotcom name changes, but cosmetic effects of their name changes are simply transitory. Due to this finding, we suggest investors who experienced loss on stocks of dotcom addition firms should aware that their loss continues growing as time goes by. Next, the fact that fundamental value of our sample firms does not change significantly indicates that investors are affected by market sentiment, rather than driven by changes of fundamental value. Furthermore, we examine consensus analysts’ EPS forecasts from I/B/E/S database. EPS forecasts are used as proxies of investors’ expectations. We find analysts revise downwards in EPS forecast changes of name change firms. However, there is no significant difference between the sample and the benchmark group, in terms of forecast changes. Accordingly, we conclude that analysts systematically revise their estimates downward. Moreover, forecast errors in the Internet-cold period is $-0.2650 and significant at 10 percent level. We infer that analysts do have sufficient information or consensus. Thus, investors are irrational in response to dotcom name change announcements in the Internet-cold period.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0095357004 |
| Creators | 吳廷芸, Wu, Ting Yun |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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