The information content of abnormal trading return: An analysis of Top 325 M&A transaction announcements
Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
This study uses an event study methodology and time series analysis to examine stock market reaction to merger and acquisition announcements in public companies. In particular, this study investigates the largest merger and acquisition announcements that occurred globally during 1998 to 2013. The purpose of the study is to detect possible merger and acquisition information leakages that happen around 15 days before the company announcement. The study results were a mixture of statistically significant and insignificant cumulative abnormal return and abnormal return. The study findings confirm that the largest M&A transactions generate significant negative and positive abnormal returns around the short-term event window for the bidder shareholders. Thus, the study cannot support any strong leakage events, and in this respect based on the CAR result the markets perform efficiently according to Fama’s theory.
Place, publisher, year, edition, pages
2017. , 42 p.
Mergers and acquisitions, event study, information leakage
IdentifiersURN: urn:nbn:se:kth:diva-202738OAI: oai:DiVA.org:kth-202738DiVA: diva2:1078455
Degree of Master - Economics of Innovation and Growth