Mathematics英国本科课程论文

Mathematics英国本科课程论文

来源:www.51fabiao.org作者:cinq发布时间:2013-12-19 11:30
本文旨在研究的基础上,股市的反应,例如公告并购( M&A)公告的信息内容。

论文题目:Financial Mathematics Coursework 1

论文语言:英语论文 English
论文专业:Mathematics
学校国家:英国
是否有数据处理要求:是
您的学校:University of South Wales
论文用于:BA Coursework 本科课程作业
本文旨在研究的基础上,股市的反应,例如公告并购( M&A)公告的信息内容。在金融理论中,这个问题密切相关的有效市场假说( EMH ),它认为,金融市场是信息上的效率。因此,一个重要的企业活动如M &A活动的效果将充分立即在相关厂商的股价反映出来。事件研究方法可应用于评估(一)事件的信息内容是否为企业的估值显著,及(b )市场是否真正有效率的事件的价值信息被立即纳入股价。
An event study of the information content of M & A announcements
 
Introduction

This paper aims to study the information content of Merger & Acquisition (M & A) announcements based on the stock market reaction to such announcements. In financial theory, this issue closely relates to the Efficient Market Hypothesis (EMH) which argues that the financial market is informationally efficient. Thus the effect of an important corporate event like M & A activity would be fully reflected immediately in share price of relevant firms. Event study methods could be applied to assess (a) whether the information content of events is significant for corporate valuation, and (b) whether the market is truly efficient in that the value information of events is instantly incorporated into the share prices. 
Event study methodology is basically a technique that enables us to measure the significance of a specific event by examining the returns in security price in the period during which the event happens. Since stock price is affected by thousands of factors in the short run, it is important to isolate the abnormal return induced by the event. This is accomplished by subtracting expected return, which is predicted by a certain asset pricing model, from the actual return. The most common asset pricing model used in the literature is the market model which can be estimated from the data collected from the estimation period, which covers several months before the event time. The various tests taken out in an event study are all based on abnormal returns, not actual returns.

The data employed in this article comprises the M & A announcements made by UK listed companies during the period of March 2013 to July 2013. The original data is collected from Thomson One Banker. In order to ensure that the estimation period is free from the impact from other M & A activities, a firm should not engage in more than two M & A deals within a year for it to be included in the current analysis. The resulting sample comprises 91 announcing events made by 91 different firms which are all listed in the UK stock market. Then the share price and contemporaneous market level data (FTSE All Share) from 100 trading days before the announcement date to 5 days after the announcement are collected for each acquiring firm. This study focuses on the short-run performance of acquirers from day -5 to +5, relative to the first public announcement of the M & A deals.

The paper proceeds as follows. Section 2 briefly reviews the literature on how to conduct long-run event studies (evaluating share performance more than one year following an event). Section 3 introduces the short-run event study methodology used in this paper. Section 4 provides the empirical results and discusses its relevance with the theory of semi-strong market efficiency. Section 5 concludes this article.