Abnormal Return of Voluntary Restructure Behavior Announcement on Financial Distress Companies by Fuzzy Time Series methods

摘要

This study explores the influence of stock price for the financial distress companies' announcement of voluntary restructuring behavior. Different voluntary restructuring event (such as asset restructuring, debt restructuring, labor-related contract restructuring, management turnover, and dividend changes) causes structure changes of expected stock return respectively. Traditionally, researchers used event study to understand the relationship between stock return and a specific event. We adopt Fama-French factors adds price momentum and trading for a five factors fuzzy time series model to confirm objectively the width of an event window. We find that the asset restructuring is associated with positive stock-price reactions.