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Multi Factor SUR in Event Study Analysis: Evidence from M&A in Singapore’s Financial Industry

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  • Enrico Tanuwidjaja

    (Singapore Centre for Applied and Policy Economics Department of Economics, National University of Singapore)

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    Abstract

    This paper proposes a use of multi-factor seemingly unrelated regression (SUR) in event study analysis to study mergers and acquisitions in Singapore’s financial industry. We also study the cross-sector (banking and insurance)domestic acquisition in Singapore’s financial industry. By contrasting to the use of ordinary least squares (OLS) method, it is found that OLS method seems to underestimate the value of the sample cumulative abnormal returns as compared to SUR. The study also found that post mergers and takeovers in banking and insurance industries tend to have high possibility of negative returns.

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    File URL: http://www.fas.nus.edu.sg/ecs/pub/wp-scape/0607.pdf
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    Bibliographic Info

    Paper provided by National University of Singapore, Department of Economics, SCAPE in its series SCAPE Policy Research Working Paper Series with number 0607.

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    Length: 11 pages
    Date of creation: Apr 2006
    Date of revision:
    Handle: RePEc:sca:scaewp:0607

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    Web page: http://www.fas.nus.edu.sg/ecs/scape/index.html
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    Related research

    Keywords: Event study; Seemingly unrelated regression (SUR); Merger and Acquisition (M&A); Singapore; Financial Industry; Cross-sector;

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    1. Abhay Abhyankar & Keng-Yu Ho & Huainan Zhao, 2005. "Long-run post-merger stock performance of UK acquiring firms: a stochastic dominance perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 679-690.
    2. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    3. Abdul Magid Gadad & Hardy Thomas, 2005. "Sources of shareholders' wealth gains from asset sales," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 137-141.
    4. Luís M. B. Cabral, 2000. "Introduction to Industrial Organization," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262032864, December.
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