예측되지 않은 사건에 대한 한국 주식시장에서의 기업규모효과에 관한 실증적 연구: 9？11 테러를 중심으로

The purpose of this paper is to investigate how Korean companies differently react to unexpected external impacts such as the 9-11 terror depending on their company sizes and book-to-market(BE/ME) ratios. For this purpose, 49, 55 and 58 company samples were selected among large, medium and small firms respectively. We used the event study methodology for analyzing market movement before-200 days and after-25 days from an event under focusing. We found that large, medium and small capital stocks were affected in the case of high BE/ME portfolios but medium and small capital stocks were affected in the case of low BE/ME portfolios by the 9-11 terror shock. From the multiple comparison analysis on the cumulative abnormal returns (CARs), there has been no significant difference between large and medium capital stocks on CARs. However, there have been significant differences between large and small, and between medium and small companies. Thus, the existence of firm size effects was partially confirmed.