• The Journal of Information Technology
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• v.9 no.3
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• pp.77-89
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• 2006

The event study analyzes returns around event date at a time. Event study provides estimation periods and cumulative returns. Stock split announcements are generally associated with positive abnormal returns. It is important to investigate the responses of stocks to new information contained in the announcements of stock splits. So It is important to study the long term performance in the case of Stock Split. This Study forced to two approach method in evaluating the performance, the event time portfolio approach and calendar time portfolio approach. The event time portfolio approach exists the CAR model, BHAR model and WR model. And the calendar time portfolio approach has the 3 factor model, 4 factor model, CTAR model, and RATS model.

• Journal of Distribution Science
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• v.17 no.3
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• pp.69-83
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• 2019

Purpose - This paper investigates the long term impact of RFID investment on firm value in Korea. We wand to find out why the long term performance of some firm's RFID investment is better than others. To understand the dynamics of the long term returns from RFID investment announcements, we divide our events into groups for each of the independent firm characteristic variable such as investment time period, kind of markets, industries, solvency and growth potential. We composed portfolios based on the RFID investment announcement date for each group and evaluate the monthly abnormal excess returns. Research design, data, and methodology - Based on these calendar-time portfolios, we measure the long term returns from 86 RFID investment announcements of 46 firms from 2003 to 2017. We construct the calendar-time portfolio for 3, 6, 9, 12 months of holding periods. Using the weighted least squares method, we regress the raw monthly returns of the portfolios on the Fama-French model and Carhart(1997) model. As a result, we can get the estimated risk adjusted mean monthly abnormal excess return α_P for each of the calendar-time portfolio. Results - We found that early adopters, large firms, non-manufacturing firms have very significant excess returns. We also found modestly significant excess returns for financially stable firms and slow growing firms. Put together, top managers of the firms which plan to invest RFID should understand the strategic role of RFID adoption and the generalized business process of distribution information technology investment in Korea. Moreover, the findings of this paper provide useful trading strategies to the managers of large funds who are considering on investing in RFID adopting firms. Conclusions - Put together, the results of this paper give us a new insight into how the RFID and IT technology in general and other characteristic factors' interactions affect the long term performance of firms. Using the unbiased estimates of long term returns of the calendar-time portfolios, this paper extends the understandings on short term impact of RFID adoption of existing studies. This paper also extends the current understandings of firm characteristics that affect the long term performance of RFID adopting firms.

• Management & Information Systems Review
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• v.28 no.1
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• pp.25-44
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• 2009

This study examines long term performance of initial public offerings(IPO) after book building was introduced in KOSDAQ market. We use event time portfolio approach and calendar time portfolio approach to test if the performance of IPO is fair or not in long term. We estimate the performance by using the BHAR(buy and hold abnormal return), CAR(cumulative abnormal return), WR(wealth relatives) model in event time portfolio approach. And we calculate the performance by using Fama-French three factor model, CTAR(calendar time abnormal return), RATS(Return Across Time and Securities approach) model in calendar time portfolio approach. This study shows that the long term performance of IPO is positive with statistical significance as the results of the analysis through the various research method and all windows in all kinds of firms and total firms.

• The Journal of Information Technology
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• v.9 no.4
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• pp.75-85
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• 2006

This study is to test the influence of stock option granting information on the firm's performance. The important issue in stock option is that agent cost is the important determinant factor for the long term performance. The agent cost arises between the manager and shareholders. So many study are concentrated in diminishing the agent cost, and develop some substitute tools to measure the agent cost. The event study about stock option analyzes returns around event date at a time. Event study provides estimation periods and cumulative returns. Announcements about stock option are generally associated with positive abnormal returns in short term period, but not showing positive effect in long term period. It is important to investigate the responses of stocks to new information contained in the announcements of stock option. Therefore it is important to study the long term performance in the case of stock option. The event time portfolio approach exists the CAR model, BHAR model and WR model. And the calendar time portfolio approach has the 3 factor model, 4 factor model, CTAR model, and RATS model. This study is forced to develop and arrange two approach method in evaluating the performance, the event time portfolio approach and calendar time portfolio approach.

• The Korean Journal of Financial Management
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• v.24 no.1
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• pp.1-27
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• 2007

In this study, we investigated the market long-term performance of stock splits by using the Korean Stock Market data from 1998 through 2002. We measured the performance by the event-time portfolio approach with the buy-and-hold abnormal return(BHAR) and the cumulative average abnormal return(CAAR). Also, the calendar-time portfolio approach with one-factor and three factor model were used for avoiding the misspecification model problem. The first of main results in this study was that the stock splits had significantly positive abnormal returns around the month of the stock splits announcements. However, the period BHAR and CAAR after the announcement month were significantly negative. This negative long-term abnormal returns were confirmed by the calendar-time portfolio approach. The results suggested that the abnormal return followed by the stock splits seemed to be positive in the short-term period. Second, there was no the difference of the long term performance between the high and the low split ratios. The operating income performance in the periods followed by the stock splits announcements grew worse. Therefore, the signalling effects, the managers of the firm under considering the stock splits would make use of splits as a form of signals for the upward changes in the cash flow or profits, could not be found. Finally, in contrast to Fama, Fisher, Jensen and Roll(1969), the significant negative abnormal returns following the stock splits were still found irrespective of the change of dividend payout ratio.