The Cumulative Abnormal Returns of the Securitization-Related Firms After the Passing of Securitization Acts in Taiwan-An Efficient Market Hypothesis Test and Event Study

• Main Authors: Chuang Pei Jung, 莊佩蓉
• Other Authors: Chang Kuang Ti
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/09784290520601660884

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 93 === This research is to study the calendar anomalies and the cumulative abnormal returns of the securitization related firms. It provides the integrated examination of the existence of four calendar anomalies and cumulative abnormal returns after the passing of Asset Securitization Act (ASA) and Real Estate Securitization Act (RESA) in Taiwan. The empirical results indicate that significance of efficient market hypothesis is shown in the day-of-the-week effect, and insignificance is shown in the January effect, the turn-of-the-month effect, and the pre-holiday effect. The impacts of the four calendar anomalies for small firms are stronger than for large firms. And we also find the results of event study that the cumulative abnormal returns are ascending after the passing of ASA, but they are descending after the passing of RESA.