Wealth Gains from Tracking Stocks: Long-Run Performance and Ex-Date Returns
研究发行追踪股票后，追踪股票、母公司及合并公司的长期表现，发现其与基准组合无显著差异；但除息日异常回报平均为3.12个百分点，表明公告效应带来的财富收益是永久的。
We examine the long-run performance of the tracking stocks, the parent stocks, and the combined companies following the issue of tracking stock, as well as the performance of the firms prior to the tracking stock issue. Our results indicate that the long-run performance is not significantly different from benchmark portfolio returns. Investigation of the ex-date returns for firms issuing tracking stocks reveals a significant mean ex-date abnormal return of 3.12 percentage points. The results suggest that the wealth gains due to the announcement effect are permanent, and they underestimate the total wealth gains from the tracking stock issues.