Abnormal return
In finance, an abnormal return is the difference between the actual return of a security and the expected return. Abnormal returns are sometimes triggered by "events." Events can include mergers, dividend announcements, company earning announcements, interest rate increases, lawsuits, etc. all of which can contribute to an abnormal return. Events in finance can typically be classified as information or occurrences that have not already been priced by the market.
Stock market
In stock market trading, abnormal returns are the differences between a single stock or portfolio's performance and the expected return over a set period of time.[1] Usually a broad index, such as the S&P 500 or a national index like the Nikkei 225, is used as a benchmark to determine the expected return. For example, if a stock increased by 5% because of some news that affected the stock price, but the average market only increased by 3% and the stock has a beta of 1, then the abnormal return was 2% (5% - 3% = 2%). If the market average performs better (after adjusting for beta) than the individual stock, then the abnormal return will be negative.
Calculation
The calculation formula for the abnormal returns is as follows:[2]
where:
ARit - abnormal return for firm i on day t
Rit - actual return for firm i on day t
E(Rit) – expected return for firm i on day t
A common practice is to standardise the abnormal returns with the use of the following formula:[3]
where:
SARit - standardised abnormal returns
SDit – 비정상 반환의 표준 편차
SD는it 다음 공식을 사용하여 계산한다.[2]
![{\displaystyle SD_{it}=[S_{i}^{2}*(1+{\frac {1}{T}}*{\frac {(R_{mt}-R_{m})^{2}}{\textstyle \sum _{t=1}^{T}\displaystyle (R_{mt}-R_{m})^{2}}})]^{0,5}}](https://wikimedia.org/api/rest_v1/media/math/render/svg/6e3471021e9f993b78df66a6a5ea3fb2c365a539)
여기서:
Si2 – 기업 i에 대한 잔차 분산,
Rmt – 당일 주식 시장 지수 수익률,
Rm – 추정 기간 동안 시장 포트폴리오의 평균 수익률
T – 추정 기간의 일수.
누적이상반환
누적 이상 수익률(CAR)은 모든 비정상 수익률을 합한 것이다.[4] 누적 비정상적 수익은 보통 작은 창(흔히 며칠만)을 통해 계산된다. 매일의 비정상적인 수익을 복합적으로 증가시키면 결과에 편견이 생길 수 있다는 증거가 나왔기 때문이다.[5]
참고 항목
참조
- ^ "Definition of Abnormal Returns". About.com - Economics. Archived from the original on 17 September 2008. Retrieved 7 August 2008.
- ^ a b Szutowski, Dawid (2016). Innovation and Market Value. The Case of Tourism Enterprises. Difin. p. 153. ISBN 9788380852471.
- ^ McWilliams, A., Siegel, D. (1997). "Event Studies in Management Research: Theoretical and Empirical Issues". Academy of Management Journal. 40 (3): 626–657. doi:10.2307/257056. JSTOR 257056.
- ^ 2007년 7월 18일 회수된 무역-광택 누적 이상 수익률(CAR)
- ^ Brown, Stephen; Warner, Jerold (1985). "Using daily stock returns: the case of event studies". Journal of Financial Economics. 14: 3–31. doi:10.1016/0304-405x(85)90042-x.
