Multi Factor SUR in Event Study Analysis: Evidence from M&A in Singapore’s Financial Industry
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Enrico Tanuwidjaja: Singapore Centre for Applied and Policy Economics Department of Economics, National University of Singapore
SCAPE Policy Research Working Paper Series from National University of Singapore, Department of Economics, SCAPE
This paper proposes a use of multi-factor seemingly unrelated regression (SUR) in event study analysis to study mergers and acquisitions in Singapore’s financial industry. We also study the cross-sector (banking and insurance)domestic acquisition in Singapore’s 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)
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:sca:scaewp:0607
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