+ Reply to Thread
Results 1 to 1 of 1

Thread: abnormal returns calculation for over 500 companies(M&A deals)

  1. #1
    Points: 4, Level: 1
    Level completed: 7%, Points required for next Level: 46

    Posts
    1
    Thanks
    0
    Thanked 0 Times in 0 Posts

    Exclamation abnormal returns calculation for over 500 companies(M&A deals)




    Hello everyone,

    I am working on a research project based on abnormal returns in M&A deals. I am looking at last 5 years deals in which both the involved companies were listed. I would be comparing data for target and acquirer with their peers (3 peers for each). now I have 500+ deals. I have read about t test and z test and they are good tools for negating the null hypotheses.

    i would be working on the return for a number of days. But here for example I will take a day return for reference and number of deals as 500. so I have


    ..........target...acquirer.....target peers....acquirer peers.....population
    Count...500.......500............1500..............1500.................4000
    Mean....1.14%...0.09%.........0.15%............-0.09%.............0.17%
    SD.......4.28%...1.83%..........3.19%............2.09%..............2.86%


    SE 00.00128 = (2.86%/sqrt(500))
    Z 7.59 = ((1.14%-0.17)/0.00128)

    Now i have seen that value above 3.5 can be taken as .9999. I was wondering if I am working on right track and this is right approach for rejecting the null hypotheses or I would need to modify or change the approach(or add additional test/method). Can someone please advise me on the topic.

    kind regards
    Last edited by roamer; 08-28-2013 at 02:39 PM. Reason: additional information

+ Reply to Thread

           




Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts






Advertise on Talk Stats