The Announcement Effect of Real Estate Disposition

• Main Authors: Cheng-feng Yu, 游晟鋒
• Other Authors: Chia-Cheng Ho
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/48290518757034972440

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === This study examines the announcement effect of real estate disposition on stock returns for the period from January 1993 to September 2003. The sample consists of a total of 166 announcements of real estate dispositions. The effect of real estate dispositions announcement on shareholders is tested by the OLS Market model. According to our empirical results, we get the conclusions as follows: (1) The daily mean abnormal returns of the whole sample are positive, but not significant; (2) The cumulative abnormal returns in the bull market classified by the Market Trend Method and for financial improved purpose are significantly positive. (3) Cross section regressions do not show that market conditions and disposal purposes influence the announcement effect of real estate disposition.