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

#1
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
 
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