Event Study of Saic Stock Price
Newcastle University Business School
MA International Financial Analysis 2010/11
NBS8002
Techniques For Data Analysis -------------------------------------------------
SAIC Stock Prices and Its Participation in GM’s IPO (Keywords: Event Study, Daily Stock Return, the OLS Market Model, SAIC, IPO)
Tutors Name: A.D Miller Student Name: Chen Kai (Jimmy) Student Number: b109000774 Date of submission: 10th /May/2011 Words Count: 5000
Table of Contents * Introduction * Overview of Market Efficiency and Event studies 1. Market Efficiency 2. Steps of This Event Study * Event Study Methodology 1. Choice and Collection of Data 2. Estimation Period and Test Period 3. Alternative Measurement Metrics a) Daily Data or Monthly Data b) Arithmetic Return or Logarithmic Return c) The Advantages of The OLS Market Model 4. The Analysis of the Regression Results 5. Tests for OLS Assumptions and Coefficients d) The Durbin-Watson Test for Autocorrelation e) Adjustments to Autocorrelation f) The Goldfeld-Quandt Test for Heteroscedasticity g) Tests for the Significance of Coefficients h) Chow Test for The Stability of Coefficients 6. Abnormal Returns and Cumulative Abnormal Returns * Discussion of Results and Findings * Conclusion * Lists of Bibliography
Introduction
Over the past decades, the availabilities of computers and statistical software have increased dramatically. As a result of these growing availabilities, it is becoming increasingly feasible to utilize the power of statistical software to study the impact of firm-specific information on a company’s stock return.
In recent years, the effects of mergers, acquisitions and earnings announcement have been studied
MA International Financial Analysis 2010/11
NBS8002
Techniques For Data Analysis -------------------------------------------------
SAIC Stock Prices and Its Participation in GM’s IPO (Keywords: Event Study, Daily Stock Return, the OLS Market Model, SAIC, IPO)
Tutors Name: A.D Miller Student Name: Chen Kai (Jimmy) Student Number: b109000774 Date of submission: 10th /May/2011 Words Count: 5000
Table of Contents * Introduction * Overview of Market Efficiency and Event studies 1. Market Efficiency 2. Steps of This Event Study * Event Study Methodology 1. Choice and Collection of Data 2. Estimation Period and Test Period 3. Alternative Measurement Metrics a) Daily Data or Monthly Data b) Arithmetic Return or Logarithmic Return c) The Advantages of The OLS Market Model 4. The Analysis of the Regression Results 5. Tests for OLS Assumptions and Coefficients d) The Durbin-Watson Test for Autocorrelation e) Adjustments to Autocorrelation f) The Goldfeld-Quandt Test for Heteroscedasticity g) Tests for the Significance of Coefficients h) Chow Test for The Stability of Coefficients 6. Abnormal Returns and Cumulative Abnormal Returns * Discussion of Results and Findings * Conclusion * Lists of Bibliography
Introduction
Over the past decades, the availabilities of computers and statistical software have increased dramatically. As a result of these growing availabilities, it is becoming increasingly feasible to utilize the power of statistical software to study the impact of firm-specific information on a company’s stock return.
In recent years, the effects of mergers, acquisitions and earnings announcement have been studied
Bibliography: Durbin-Watson (DW) test is a typically employed test for autocorrelated errors. The procedures based on Newbold et al. (2010)’s study are summarized as follow: The null hypothesis: H0: ρ=0 The DW statistic (d = 1.76157) in this study is obtained by using Minitab. Then for given n (the number of observations=570), k (the number of independent variables=1) and significance level of 5 percent, values of dL and dU can be obtained.