Multi Factor SUR in Event Study Analysis: Evidence from M&A in Singapore’s Financial Industry

Enrico Tanuwidjaja
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Enrico Tanuwidjaja: SCAPE

Finance Working Papers from East Asian Bureau of Economic Research

Abstract: This paper proposes a use of multi-factor seemingly unrelated regression (SUR) in event study analysis to study mergers and acquisitions in Singapores financial industry. We also study the cross-sector (banking and insurance) domestic acquisition in Singapores financial industry. By contrasting to the use of ordinary least squares (OLS) method, it is found that OLS method seems to underestimate the value of the sample cumulative abnormal returns as compared to SUR. The study also found that post mergers and takeovers in banking and insurance industries tend to have high possibility of negative returns.

Keywords: Event study; Seemingly unrelated regression (SUR); Merger and Acquisition (M&A); Singapore; Financial Industry; Cross-sector (search for similar items in EconPapers)
JEL-codes: C50 G14 G21 G22 G34 O53 (search for similar items in EconPapers)
Date: 2006-01
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