Explain step-by-step how are you going to calculate the Cumulative Abnormal Return (CAR) of the acquirer firm’s stock ar
Posted: Sun Jun 05, 2022 10:08 am
Explain step-by-step how are you going to calculate
the Cumulative Abnormal Return (CAR) of the acquirer firm’s stock
around the M&A event. Use an estimation window of 60 days and
an event window of 5 days (i.e. 3 days pre-event and 1 day
post-event). Assume that the underlying asset pricing model is the
Fama-French 5 factor model. For simplicity, let’s say the M&A
event date is July 31st.
the Cumulative Abnormal Return (CAR) of the acquirer firm’s stock
around the M&A event. Use an estimation window of 60 days and
an event window of 5 days (i.e. 3 days pre-event and 1 day
post-event). Assume that the underlying asset pricing model is the
Fama-French 5 factor model. For simplicity, let’s say the M&A
event date is July 31st.