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DealListopad Marzec 2010 Deal 2010


The formula for CAR is presented below:

where: – cumulative abnormal return, – abnormal return.

of t hat research. A ll infor mation was gained from the data base on t he website w w w.g pw After calculations it was possible to prepare the graph which is the base of the investors’ reaction to the mandatory bid analysis. It is presented below: The average cumulative abnormal return

in the context of the information efficiency of capital markets. There is no doubt that mandatory bid announcement has positive influence on the stock market. The investors’ reaction is delayed what creates opportunity for them to reach superior returns. The research is the proof that on the Warsaw Stock Exchange information

grows over the period from t=-5 to t=+1, after that there is insignificant fall over the period from t=+2 to t=+10. The reaction is really similar to that which can be observed on developed markets. As we can see the ACAR starts to decrease some days before the day of announcement of information about mandatory bid. It means that some investors may have access to the information earlier or they may analyze the situation of companies more accurately. The reason of that may also have its origins in tools used by particular investors to make their decisions. For example, the access to the data bases by investment funds causes that their situation in comparison to individual investors is superior. Moreover, the results have to be analyzed

inefficiencies occur. From the individual investor’s point of view, who would like to invest according to the information about mandatory bid, the possibility of using that research is limited. It is difficult to anticipate the announcement of information and as a result to choose appropriate moment to buy the shares of each company. On the other hand, as we can see on the graph, after the announcement of information ACAR goes down, the general hint for the individual investor is to sell the shares of the company just after the disclosure of the information about mandatory bid.

The final step is to calculate average cumulative abnormal return (ACAR). It gives opportunity to analyze an investors’ reaction on the particular occurrence which had place on the stock market. The formula for ACAR is given below:

where: – average cumulative abnormal return, – cumulative abnormal return, n - number of analyzed companies. For each research the statistical tests should be adopted. The distinction must be made between parametric and nonparametric tests. From the first group it is worth to point out the t-student test and its modification. However, as far as nonparametric tests are concerned the most appropriated one in the event study analyses of abnormal returns is Corrado’s nonparametric rank test. EMPIRICAL RESEARCH The research was carried out in accordance with the event study methodology. The full history, from February 14th 2007 to January 8th 2010, of companies quoted on Warsaw Stock Exchange was analyzed. Over that period 54 mandatory bids were examined. The daily closing price of each company on the particular trading day was taken into account. The publicly disclosed information about mandatory bid was used for t he pur poses

SUMMARY It is true that the mandatory bid has huge influence on the price of companies’ shares quoted on the Warsaw Stock Exchange. The knowledge about investors’ reaction can be obviously used by the institutional and individual investors. They can scrutinize information about particular shares and make decision about addition to their portfolios. In the following paper the event study methodology was shortly presented. It can be used for examining many different issues in finance and economics. The part of presented research, concerning the reaction of investors to particular occurrences on the stock market, can provide the base for continuing the analysis in that subject.

Szymon Okoń

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Magazyn Deal X  

X numer magazynu Deal wydawanego przez SKN Inwestor działające przy Wydziale Ekonomiczno- Socjologicznym Uniwersytetu Łódzkiego.

Magazyn Deal X  

X numer magazynu Deal wydawanego przez SKN Inwestor działające przy Wydziale Ekonomiczno- Socjologicznym Uniwersytetu Łódzkiego.