Multi-factor SUR in event study analysis: evidence from M&A in Singapore's financial industry
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 acquisitions in Singapore's financial industry. In contrast 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 firms post mergers and takeovers in the banking and insurance industries tend to have high a possibility of negative returns.
Volume (Year): 3 (2007)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFL20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:taf:apfelt:v:3:y:2007:i:1:p:55-62. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.