Acquisition Announcement and Stock Price Behaviour: The Malaysian Experience

Fauzias Mat Nor

Abstract


Kajian ini menyelidiki kesan pengumuman tentang pengambilalihan ke atas pergerakan harga saham syarikat penawar dan syarikut sasaran. Teknik kajian peristiwa berasaskan indeks tunggal atau model pasaran telah digunakan untuk mengira pulangan luar biasa. Walau bagalmanapun, dua model lagi, iaitu model penentuan harga aset modal (CAPM) dengan persilangan berkonstren dan tanpa berkonstren, dan model pasaran dengan parameter berkonstren a = 0 dun /3 = I juga digunakan untuk memastikan sama ada penentuan pulangan yang dikawal memberi kesan kepada keputusan yang diperolehi. Kesimpulannya tiada terdapat perbezaan yang ketara dalam menggunakan model yang berlainan.

ABSTRACT
This paper examines the effects of acquisztion  announcement on the price behaviour of the Malaysian bidders and target firms. Event study technique is the method used to compute abnormal returns, based on the single index or market model. However, two other models, the capital asset pricing model (CAPM) with unconstrarned and constrarned intercept, and the market model with constrained parameters a = O and p = 1 are also included in this study to ascertain whether the specificatzon of control returns effect the results.
There are no obvious difference in the conclusions from using diferent models.


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