 One For All or All For One? Using Multiple-listing Information in Event StudiesLulu Gu and W. Reed () Working Papers in Economics from University of Canterbury, Department of Economics and Finance Abstract: In an event study where at least some of the sample firms have their equity securities listed in more than one market, the question arises as to which is the most appropriate market (or markets) to use for the purpose of estimating mean abnormal returns. When arbitrage activity across these markets is restricted in some way, estimating abnormal returns from just one of the markets potentially throws away valuable information. On the other hand, indiscriminate pooling is likely to result in the same information being counted more than once. We develop a Generalized Least Squares estimator that (i) uses all the information available from multiple listings, (ii) ‘downweights’ listing observations that provide little new information, and (iii) yields efficient abnormal return estimates. Finally, we apply this generalized approach to a sample of Chinese foreign mergers and acquisitions and compare the results with conventional estimates of mean abnormal returns. Keywords: event study; multiple listings; mergers and acquisitions; China (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:11/33 Access Statistics for this paper More papers in Working Papers in Economics from University of Canterbury, Department of Economics and Finance Private Bag 4800, Christchurch, New Zealand. Contact information at EDIRC. |
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