Please use this identifier to cite or link to this item: https://doi.org/10.1080/17446540600706882
Title: Multi-factor SUR in event study analysis: Evidence from M&A in Singapore's financial industry
Authors: Tanuwidjaja, E. 
Issue Date: 1-Jan-2007
Source: Tanuwidjaja, E. (2007-01-01). Multi-factor SUR in event study analysis: Evidence from M&A in Singapore's financial industry. Applied Financial Economics Letters 3 (1) : 55-62. ScholarBank@NUS Repository. https://doi.org/10.1080/17446540600706882
Abstract: 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 acquisitions in Singapore's financial industry. In contrast 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 firms post mergers and takeovers in the banking and insurance industries tend to have high a possibility of negative returns. © 2007 Taylor & Francis.
Source Title: Applied Financial Economics Letters
URI: http://scholarbank.nus.edu.sg/handle/10635/52141
ISSN: 17446546
DOI: 10.1080/17446540600706882
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