摘要：Brown, Harlow and Tinic (BHT [8]) examine
the relationship between risk and expected returns of common stock in the
aftermath of large price movements. They find support for the hypothesis that
when temporary changes in uncertainty follow seemingly major financial events,
subsequent stock returns are positively correlated with the shift in return
volatility. The also find support for the notion that ex ante stock returns
incorporate a premium for increases in parameter (i.e. beta) uncertainty
associated with these events. The price changes considered in the BHT study were
determined by spikes exceeding 2.5% in the market-model residual series. The
specific information events causing these spikes were unknown. This research
extends that of BHT by examining the risk-return relationship following known
information events: common stock sales, debt sales, and repurchases of common
stock and debt. The results suggest that common stock sales, debt sales, and
common stock repurchases are typically followed by a reduction in common stock
return variability and that at least a part of this risk reduction is
persistent. There is some evidence that the post-announcement cumulative
prediction errors are positively related to changes in systematic risk and that
the precision with which systematic risk is estimated is also priced by the
market.
