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An Event Study Analysis Of Stock Price Reaction To Mergers Of Greek Industrial And Construction Firms

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  • Nikolas Papasyriopoulos
  • Athanasios Koulakiotis
  • Pyrros Papadimitriou
  • Dimitris Kalimeris

Abstract

Using the event study methodology introduced by Brown and Warner (1985) for six Greek industrial and construction firms, we attempt to measure the abnormal returns on stock prices on the day of the acquisition announcement. Estimation period and event period in our market model is -211 -11 -10, +10 respectively. In order to allow for asymmetric effect of news on the abnormal returns we use an E-GARCH model for period -211,-1. Empirical results show that on day t=0, AAR go slightly positive, while CAAR remain positive (0.4% and 1.3% respectively). E-GARCH model results show that good news have a positive effect on abnormal returns, while bad news a marginal negative one.

Suggested Citation

  • Nikolas Papasyriopoulos & Athanasios Koulakiotis & Pyrros Papadimitriou & Dimitris Kalimeris, 2007. "An Event Study Analysis Of Stock Price Reaction To Mergers Of Greek Industrial And Construction Firms," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 1(2), pages 125-132.
    • Handle: RePEc:ibf:ijbfre:v:1:y:2007:i:2:p:125-132
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    Cited by:

    1. Krystian M. Zawadzki & Marcin Potrykus, 2023. "Stock Markets’ Reactions to the Announcement of the Hosts. An Event Study in the Analysis of Large Sporting Events in the Years 1976–2032," Journal of Sports Economics, , vol. 24(6), pages 759-800, August.

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