Year of Graduation
M&A- Event Study and Efficiency
In this work we estimate the influence of M&A deal announcement on the market prices. The analysis is based on the Russian oil and gas companies. The study contains the description of world tendencies on the oil market and special characteristics of M&A market in Russia. Reasons of M&A deals and different approaches to the efficiency analysis are also studied. Using statistical methods we analyze three different approaches of cumulative abnormal return (CAR) calculation. The first method is a calculation of normal return as an average yield of the previous 120 days before deal announcement. The second one is a calculation of normal return based on the market index model. The last one is based on the CAPM model. Besides the study analyses the influence of the type and the volume of deal on the volume of CAR.