Title: Model selection for merger and acquisition analysis in Asian emerging markets

Authors: Jianyu Ma; Mingzhai Geng; Yun Chu

Addresses: School of Business, Robert Morris University, Moon Township, Pennsylvania 15108, USA ' Academy of Hinterland Development, Henan University, Jinming Road, Kaifeng, Henan Province, 475004, China ' School of Business, Robert Morris University, Moon Township, Pennsylvania 15108, USA

Abstract: We extract a dataset of mergers and acquisitions from Asian emerging markets and examine the distribution of the stock returns for the acquiring firm and the corresponding market portfolio in each deal. Non-normal distribution of the returns appears in the test of most deals. We use two robust regressions and a nonparametric statistic test to examine the efficacy of the standard OLS market model. The traditional methods of measuring abnormal returns (ARs) around event windows may be flawed. The robust regressions, Huber regression M-estimator and bootstrapping quantile regression, provide better and higher estimation of abnormal returns.

Keywords: market modelling; robust regression; mergers and acquisitions; Asia; model selection; M&A analysis; emerging markets; stock returns; market portfolio; abnormal returns.

DOI: 10.1504/IJRM.2016.076183

International Journal of Revenue Management, 2016 Vol.9 No.1, pp.40 - 56

Received: 13 Apr 2015
Accepted: 24 Jan 2016
Published online: 27 Apr 2016 *

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