| Summary: | 碩士 === 逢甲大學 === 土地管理學系 === 87 === This study examines the announcement effect of real estate transactions on firms’ stock returns for the period January 1991 to September 1998. The sample consists of a total of 331 announcements of real estate transactions, which includes both acquisitions and dispositions of real properties. The effect of real estate transaction announcement on real estate companies’ shareholders will be tested by the OLS Market model.
The empirical results show that the mean abnormal return of whole sample on the day prior to announcement is significantly negative, which is —0.36054 percent. In addition, the results show that all cumulative abnormal returns in different event windows are significantly negative for whole sample. The results also show that the transaction price affect the two-day cumulative abnormal return of whole sample.
For acquisition sample, the abnormal returns for the day of announcement and one day prior to announcement are significantly negative, which are —0.40632 and —0.38308 percent. In addition, the results show that all cumulative abnormal returns in different event windows are significantly negative for acquisition sample.
For disposition sample, the abnormal returns for the day of announcement and one day prior to announcement are significantly negative but insignificantly. In addition, the results show that all cumulative abnormal returns in different event windows are significantly negative for disposition sample except (-3,0).
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