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Multi-factor SUR in event study analysis: evidence from M&A in Singapore's financial industry


  • Enrico Tanuwidjaja


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.

Suggested Citation

  • Enrico Tanuwidjaja, 2007. "Multi-factor SUR in event study analysis: evidence from M&A in Singapore's financial industry," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(1), pages 55-62, January.
  • Handle: RePEc:taf:apfelt:v:3:y:2007:i:1:p:55-62

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    References listed on IDEAS

    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. 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.
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    Cited by:

    1. Reddy, Kotapati Srinivasa & Nangia, Vinay Kumar & Agrawal, Rajat, 2013. "Indian economic-policy reforms, bank mergers, and lawful proposals: The ex-ante and ex-post ‘lookup’," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 601-622.
    2. Reddy, K. Srinivasa & Nangia, Vinay Kumar & Agrawal, Rajat, 2012. "Corporate mergers and financial performance: A new assessment of Indian cases," MPRA Paper 60425, University Library of Munich, Germany, revised 2013.

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