Event Research of Saic Stock Value

 Essay about Event Analyze of Saic Stock Value

Newcastle University Business School

MOTHER International Economic Analysis 2010/11

NBS8002

Tactics for Data Analysis

-------------------------------------------------

SAIC Stock Rates and Its Contribution in GM's IPO

(Keywords: Event Study, Daily Share Return, the OLS Market Model, SAIC, IPO)

Tutors Name: A. D Miller

Student Brand: Chen Kai (Jimmy)

Scholar Number: b109000774

Date of submission: 10th /May/2011

Phrases Count: 5000

Table of Contents

2. Introduction

* Summary of Market Efficiency and Function studies

1 . Market Productivity

2 . Measures of This Function Study

5. Event Research Methodology

1 ) Choice and Collection of Info

2 . Evaluation Period and Test Period

3. Substitute Measurement Metrics

a) Daily Data or Monthly Data

b) Arithmetic Return or Logarithmic Returning

c) The huge benefits of The OLS Market Version

4. The Analysis in the Regression Results

5. Checks for OLS Assumptions and Coefficients

d) The Durbin-Watson Test pertaining to Autocorrelation

e) Adjustments to Autocorrelation

f) The Goldfeld-Quandt Check for Heteroscedasticity

g) Tests for the value of Rapport

h) Chow Test pertaining to The Stability of Coefficients

6. Abnormal Returns and Cumulative Unusual Returns

2. Discussion of Results and Findings

* Conclusion

2. Lists of Bibliography

Introduction

Over the past decades, the availabilities of computers and record software have increased considerably. As a result of these kinds of growing availabilities, it is becoming more and more feasible to make use of the power of record software to analyze the impact of firm-specific information on a industry’s stock go back. In recent years, the consequence of mergers, purchases and revenue announcement had been studied extensively. However , there has been very little study reported on the impact of your company's engagement in its spouse-to-be's initial community offerings (IPO). SACI, the biggest Chinese automaker, has participated in General Engines (GM)'s IPO by buying their 1 percent risk last year. It is a historic celebration in both equally China and US's automotive aftermarket. This aim of this examine is, therefore , to examine the SAIC's inventory return response to a sequence of events resulting in the final purchase of GM'IPO. The complete structure on this paper takes the form of 4 sections. The first section begins simply by laying out related financial ideas of the analysis. The second section looks at each step of the event-study methodology. Moreover, it provides a evaluation between several measurement metrics involved in the event-study methodology. After that it gives the reason for the adoption of daily data and the OLS market unit, and therefore the FLADEM?L, CAR and the t-statistics are computed based upon this procedure. The next section reveals an explanation with the effects of the five incidents based on the results of AR and CAR. Finally, the last section summarizes the methodologies and findings with this study. Overview of Market Effectiveness and Celebration Studies

Industry Efficiency

Watson and Head (1970 mentioned Fama, 2010: 37) claim that the successful market hypothesis (EMH) means that the security rates effectively integrate all relevant available data. They therefore indicate the fact that market productivity refers to the extent from the price adjustment to fresh events. Bodie, Kane and Marcus (2003) summarize that you have three forms of the EMH: • The " weak” form EMH states that current inventory prices only incorporate historical information. • The " semi-strong” type EMH asserts that current stock rates already incorporate all public available data. • The " strong” form EMH states that relevant data, including inside information is usually impounded in current share prices. There are many...

Bibliography: Durbin-Watson (DW) check is a commonly employed evaluation for autocorrelated errors. The procedures based upon Newbold et al. (2010)'s study are summarized since follow:

The null hypothesis: H0: ПЃ=0

The DW figure (d = 1 . 76157) in this analyze is obtained by using Minitab. Then intended for given in (the volume of observations=570), t (the volume of independent variables=1) and significance level of 5%, values of dL and dU can be acquired.

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