Event Study Methods and Evidence on Their Performance

Armitage, Seth

doi:10.1111/j.1467-6419.1995.tb00109.x

Cited by 288 publications

(149 citation statements)

References 60 publications

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“…The first is event study methodology. An event is defined as an announcement by a company (whether external or solely internal), for instance, the announcement of a takeover bid (Armitage, 1995). In the M&A concept, event studies are typically applied to measure the change in stock price in the acquiring and target firms, pre and post the M&A activity announcement.…”

Section: Methodsology Used In Manda Researchmentioning

confidence: 99%

“…Glascock et al (1991) asserted that it is easier to find out any AR presence if a shorter event period is used. In practice, a two-day event window is most common if the event date can be determined precisely, supplemented by cumulative abnormal returns for longer periods ex and post (Armitage, 1995). If the event date is not straightforward, then it would be better to choose one of the days at random as the event date (Dyckman et al, 1984).…”

Section: Event Study Methodsologymentioning

confidence: 99%

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An Analysis of Short-Term Performance of UK Cross-Border Mergers and Acquisitions by Chinese Listed Companies

Zhu

Moeller

2016

SSRN Journal

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Using a unique and proprietary database of Chinese cross-border mergers and acquisitions into the UK from 2012 to early 2016, this paper investigates the short-term performance of UK cross-border mergers and acquisitions acquired by Chinese publicly-listed companies. Using event study analysis with four different time-period windows, the results show that Chinese acquirers have earned significantly positive abnormal returns on the first day following the announcement date of M&A deals, however, these positive returns faded away over time. In addition, we conduct the event analysis by sector subsamples. The findings suggest that Chinese acquirers in Real Estate and other business sector deals have gained positive abnormal returns, while those in the Financial sector had negative abnormal returns. Regarding the factors that drive stock performance, the paper takes five of the most related deal characteristics into consideration both in univariate analysis and regression analysis. The results indicate that target form (public/private) and absolute transaction size are the most influential factors on the short-term performance of these Chinese acquiring firms: acquirers engaged in deals where the target firms are UK private and small/medium-sized earn statistically significant higher abnormal returns than those UK public and large-sized targets.

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Section: Methodsology Used In Manda Researchmentioning

confidence: 99%

Section: Event Study Methodsologymentioning

confidence: 99%

An Analysis of Short-Term Performance of UK Cross-Border Mergers and Acquisitions by Chinese Listed Companies

Zhu

Moeller

2016

SSRN Journal

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“…One of the most prevalent approaches in event study methodology is the market model, since evidence has suggested that the model will perform in most circumstances, as well as, if not better than any other alternative (Armitage, 1995). Generally, for statistical models, it is required that asset returns be jointly multivariate normal, independent and identically distributed over time, as explained by Campbell, Lo, & MacKinley (1997).…”

Section: Modeling and Estimating Share Price Reactionmentioning

confidence: 99%

The Value Contribution of Sustainability Reporting - an empirical Evidence for Real Estate Companies

Ansari¹,

Cajias²,

Bienert³

2015

22nd Annual European Real Estate Society Conference

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“…However, α and β will also become "out of date" due to the longer estimation period. Armitage (1995b) suggested an estimation period of around 100 days is usually appropriate. Brown and Warner (1985) compared the event study using monthly stock returns and daily stock returns.…”

Section: Event Studymentioning

confidence: 99%

“…This is calculated by dividing the event period residuals by the standard deviation of the estimation period residuals corrected by the prediction error. Armitage (1995b) explained the prediction error could arise in two ways. First, the error could arise from the difference between the true regression line and the estimated regression line.…”

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confidence: 99%

An empirical analysis of the effects of market response to bank loan announcements in Hong Kong stock market

Qing¹,

Gan

Li³

2011

J Bank Regul

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of a thesis submitted in partial fulfillment of the requirements for the Degree of M.C.M An Empirical Analysis of the Effects of Market Response to Bank Loan Announcements in the Hong Kong Stock Market Qing ChenThis study will validate several key results from previous studies of bank loan announcement effects by using the data from Hong Kong market following the 1997 Asian crisis. Banks are believed to play a unique role in financial market which could effectively reduce the problem of information asymmetry and moral hazard. Banks could access borrowers' inside information which is not available to other participants.Thus bank loan announcements convey valuable information to the market, and market response of the stock price should be positive. However, because of the significant reform in both financial market and information market, the valuation of bank loan announcement conveyed need to be reconsidered. This study investigates whether banks are still "unique" in the financial market or whether they are like middlemen between borrowers and investors. Data used in this study is collected from the Hong Kong Stock Exchange Index, and a standard event study with the market model is applied in the research to conduct the empirical analysis.The results suggest bank loan announcements are associated with significantly higher positive abnormal returns than non-bank loan announcements. Based on the market model of event study, market response is found to be significantly positive for loan syndication, short maturity loan and borrower's debt ratio, and negatively related to II firm size and loan size. Bank loans with refinancing and capital expenditure and no specific purpose have significantly higher positive abnormal returns, and borrowers with property and industrial industry type have more significant positive abnormal returns compared to other industry type. The findings also suggest the Hong Kong stock market is efficient in both strong and semi-strong form for bank loan announcements. A strong evidence of information leakage problem is found for nonbank loan announcements. The results are generally consistent with the existing literature.Key Words: bank loan announcements, abnormal returns, information asymmetry, syndication, loan size, loan maturity, loan purpose, firm size, industry type, debt ratio, market efficiency. III ACKNOWLEDGEMENTS

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Event Study Methods and Evidence on Their Performance

Cited by 288 publications

References 60 publications

An Analysis of Short-Term Performance of UK Cross-Border Mergers and Acquisitions by Chinese Listed Companies

An Analysis of Short-Term Performance of UK Cross-Border Mergers and Acquisitions by Chinese Listed Companies

The Value Contribution of Sustainability Reporting - an empirical Evidence for Real Estate Companies

An empirical analysis of the effects of market response to bank loan announcements in Hong Kong stock market

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