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 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.
|Date of creation:||Apr 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.fas.nus.edu.sg/ecs/scape/index.html|
More information through EDIRC
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.:
- Luís M. B. Cabral, 2000. "Introduction to Industrial Organization," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262032864, June.
- 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.
- A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
- 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:sca:scaewp:0607. 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: ()
If references are entirely missing, you can add them using this form.