The Post-divestiture Effect on Firm Performance and Share Price

Bachelor Thesis

Author: Iskra Tsonzarova

Student Number: 0309125

Date of Completion: 19.12.2007

Supervisor: dr. S.R. Arping

Faculty of Economics and Business
Universiteit van Amsterdam

Abstract
The main focus of this thesis is to assess the impact of divestitures on company performance
and also to investigate effects of announcement on share price ex post. The factors that lead to
such restructuring decisions could be a partial explanation to the issue at question. Research
on divestitures has shown that the main determinant for divestment decisions is poor firm
performance. In order to study the relationship between a divestiture announcement and a
companys business health various accounting ratios are studied prior to the divestiture
announcement and compared with subsequent firm performance indicators. In addition,
announcement effects on share price will be examined through testing for abnormal returns in
the post-announcement period.

Table of Contents

1 Introduction

2 Corporate Divestiture: Definition and Types

2.1 M&As and Divestments

2.2 Discrepancies between sell-offs, spin-offs and equity carve-outs

3 Underlying Factors Leading to a Divestment Decision

3.1 External Determinants

4
4

3.1.1 Industry concentration and growth

3.1.2 Technological change
3.1.3 Other external factors
3.2 Internal Determinants

3.2.1 Poor firm performance

3.2.2 Business unit unprofitability
3.2.3 Unit interdependency
3.2.4 Agency problems
4 Sample and Methodology

4.1 Sample selection

4.2 Firms operating performance and testing

4.3 Stock market reaction

4.3.1 Abnormal Return

4.3.2 Cumulative Average Returns
5 Results

5.1 Firm performance

5.2 Post-divestiture abnormal returns

10

6 Conclusion
References
Appendix

11

1
1 Introduction

Divestment decisions are often considered as a corporate restructuring mechanism to improve

performance within the company. However, due to information availability, the majority of
studies has been focusing on the expansion of firms rather than reducing the scope of
operations for the sake of efficiency. Yet, during the 1980s, the number of divestments
increased substantially owing to the development of the corporate control market on the one
hand, and recent unsuccessful Mergers and Acquisition (M&As) activities on the other. This
provoked research interest on divestitures and a variety of studies started emerging.
Besides linking divestitures to M&As, the types of divestments (equity carve-out,
spin-offs and asset sell-off) have also drawn attention (Slovin et al. 1995, Powers 2001). It is
important to analyze various factors stimulating these decisions as well as effects (Duhaime &
Grant 1984, Montgomery & Thomas 1988, Markides 1992a, Cho & Cohen 1997, Borde et al.
1998). This paper presents the number of more significant factors and proceeds to examine
whether firm performance indeed improves due to the divestment undertaken. Accounting
ratios depicting profitability, liquidity and leverage are compared three years before and after
the announcement.
As divestitures are considered to improve the health of businesses, literature has also
focused on studying the share price fluctuations around the announcement date of the
divestitures (Boudreaux 1975, Montgomery et al. 1984, Klein 1986). Further analysis of these
effects has been examined in this work through the measure for abnormal returns during time
spans around the announcement dates. This method has often been implemented and studies
have confirmed that abnormal returns are experienced around a positive shock announcement
period. The aim of this paper is to validate results from past research by applying it to the
sample of 38 companies gathered and comparing daily returns in various periods around the
date of the announcement.
The paper proceeds as follows: Section 2 defines the link of divestitures to M&A
activities and depicts the different types of divestment decisions. The next Section 3
summarizes the external and internal factors underlying divestitures. Then, Section 4
illustrates how the sample is constructed as well as the methods applied for the analysis; the
first part presents the methodology and comparison of firm performance indicators and the
second part examines abnormal returns. Subsequently, a brief summary of the results is
followed by a conclusion.

2
2. Corporate Divestiture: Definition and Types

Naturally considered to be the antonym of investment, a divestment (or divestiture) involves a

companys disposal of assets of a company in return for other forms of assets. Mergers and
Acquisitions (M&A) has been a subject of much attention, whereas empirical research on the
closely related topic of divestitures has remained comparatively limited. Yet, as these two
subject matters are rather interconnected, studies conducted to explore divestments have been
on the rise.

2.1 M&As and Divestments

During the 1980s, there was a boom of M&A activities, which subsequently resulted in an
increased number of divestments. The escalating efficacy of markets for corporate control
contributed substantially to divestiture decisions. This was due to the enhanced discipline of
managers that helped to exploit information advantages of the diversified businesses within
the firm. In addition, unfavorable evidence from the augmented number of firms that were
divesting as a result of highly unsuccessful acquisitions developed a criticism towards
diversified multi-business firms in the eyes of capital markets (Jensen 1993).
Not surprisingly, the common notion that describes a divestment as the mirror-image
of a merger or acquisition of companys assets has been implemented erroneously (Boudreaux
1975). In fact, the crude assumption that divestment of one firm is an acquisition of another
ignores the complexity of the term (Buchholtz et al. 1999, Brauer 2006). As a result, relative
to M&As, the subject of divestitures is not as common on the research agenda (Brauer 2006).
e.g. some studies even deduct conclusions on M&As from evidence on divestments.
Indeed, the various forms of divestiture defined below are overlooked in their essence.
While an acquisition mirrors a sell-off to some extent, the other modes of divestiture have
been disregarded. For instance, as (Brauer 2006) points out that, an outside buyer, as is with
M&As, is not engaged in a spin-off1. Likewise, delisting and reintegration of the division and
not an M&A transaction would mirror an equity carve-out2. The main differences of the types
of divestitures that companies can decide on follow in the next sub-section.

In a spin-off, the shareholders of the divesting entity become shareholders of the new, independent one.
In an equity carve-out, the shares of the divested subsidiary are sold via an IPO.

3
2.2 Discrepancies between sell-offs, spin-offs and equity carve-outs

The most common type of divestiture is a sell-off in which an entire division of a company is
sold to another. The parent company can also opt for a spin-off, which involves allocation of
shares of the subsidiary to be divested between the existing shareholders. Another possibility
is an equity carve-out, in which a portion of the new shares are sold in an IPO, whilst the rest
is kept by the parent firm. Typically the restructuring process in the aforementioned
divestment decisions leads to increased focus on the core businesses, leaving less significant
units out. For instance, ownership is transferred to existing shareholders in spin-off
transactions. In a sell-off, the ``buyer`` company supplies external financing and undertakes
control over the subsidiary. Only in the case of equity carve-outs there is still involvement in
the divested units business activities (Slovin et al. 1995).
There is ample research conducted on the different types of divestment decisions as
well as the information that each one conveys. Evidence is conclusive that the announcement
of either one yields positive returns for the parent company. However, the benefits stem from
various reasons that are not relevant for the analysis in this paper. No distinction has been
made between the type of divestiture announced in the sample applied to this study.

4
3 Underlying Factors Leading to Divestment Decisions

In the following sub-sections, I will briefly summarize literature on the possible triggers of
firms decision to divest that subsequently suggests the effect on firm performance and share
price. These factors can be grouped in two main groups that follow as sub-sections, namely,
external and internal. The external causes are merely discussed to provide a more thorough
representation of the spectrum of possible impact on decisions to divest.

3.1 External Determinants

3.1.1 Industry factors

Industrial economics is one theoretical lens through which researchers can investigate the
causes of divestitures. (Tan & Yuan 2003) investigates that collaboration between firms on
divestment decisions as a result of increased competition, for instance, gives rise to more
divestments. Also, some studies link divestitures to exit rates and test whether industries of
low concentration experience lower exit rates, and thus fewer divestments (Ilmakunnas &
Topi 1999). To add, if paired with unwelcoming home industry, low concentration does not
show correlation with increased divestment decisions (Hopkins 1991).
Industry growth has also been found to influence divestments. While higher industry
growth may result in less divestment due to improved external environment, companies
expanding core businesses at higher rate which can naturally happen during period of a boom
in a certain industry are found to be divesting more of their secondary operations. Therefore,
low industry growth would result in stimulated divestment activities (Ilmakunnas & Topi
1999).

3.1.2 Technological change

The level of technological change and its impact on divestment decisions is another factor
discussed. Technological advancement can indeed drive out of the market firms that are
unable to keep up with competition.

3.1.3 Other external factors

Environmental uncertainty, anti-trust policies and tax policies are other possible causes of
divestitures. However, the focus in this thesis is mainly on factors arising within the firm as
well as stock market reaction of announcement of the restructuring decision.

5
3.2 Internal Determinants

3.2.1 Poor firm performance

Divestment activities are usually undertaken to improve inefficiencies on the corporate level.
Accordingly, research has been conclusive that overall poor performance on the company
level is a defining factor for divestment decisions (Duhaime & Grant 1984, Montgomery &
Thomas 1988, Markides 1992b, Cho & Cohen 1997). If a companys operations are lagging
behind normal growth comparably to their industry competitors, the likelihood of divestment
decisions increases substantially. This is a reasonable explanation as a firm of already poor
health will seek improvement through ridding itself from divisions that are underperforming
comparatively to other business units.

3.2.2 Business unit unprofitability

Another stimulus to divest a certain division has also shown to be related to the unit financial
and competitive strength (Duhaime & Grant 1984, Hoskisson et al. 1994). Indeed a divisions
poor health should result in the need for restructuring. Yet, there is evidence that companies
tend to hang on to losers for some time (Boot 1992). The reasons underlying the
unwillingness of managers to close the unprofitable divisions can be related to the agency
theory.

3.2.3 Unit interdependency

Companies tend to increase efficiency through focusing on core businesses. Thus, the low
profitability on the division and/or firm level can be related to overdiversification (Brauer
2006). Within this reasoning, the company can only achieve efficient allocation of its
resources up to a certain level of diversification. The low interdependency with the core
business units makes divested units obsolete which consequently results in exhausting the
resources of profitable divisions.

3.2.4 Agency problems

Poor internal governance is often associated with excessive diversification within the studies
of principal-agent theory testing (Hoskisson et al. 1994). The decision to acknowledge the
bad-performing unit implies negative assessment of managerial skills and thus costs to his
reputation (Boot 1992). Since managers are the ones that can observe the real picture of the

6
firm performance, investors are disadvantaged as poor firm health is not revealed to them(Cho
& Cohen 1997).

4 Sample and Methodology

Having reviewed the major determinants of divestment decisions, this section proceeds to
examine whether poor performance is observed and how it affects the value to shareholders.

4.1 Sample Selection

To begin with extracting a sample of 38 companies, the announcement dates on the

divestiture decision of firms has been obtained from the PR Newswire archive for the period
between 1998 and 2005. The firms are listed New York Stock Exchange (NYSE) or the
National
Association of Securities Dealers Automated Quotations exchange (NASDAQ) or the
American Stock Exchange (AMEX).
In order to examine the impact of divestment on company performance and share
price, regardless of the nature of their business, no distinction between the industries in which
they operate in has been made. The type of divestiture has also been disregarded as impact of
any form of divestment shows similar results. Firms that have conducted various divestitures
throughout the time, for which the analysis is relevant, have been excluded from the sample to
ensure that the data provides an objective representation free of bias due to overlapping
divestment shocks. Furthermore, companies that have become bankrupt at some stage have
been ruled out as well because of insufficient data for conducting the analysis. The sample of
companies compiled as well as the dates of divestiture announcements as retrieved from the
PR Newswire archive is listed in Table 1 in the Appendix.
Subsequently, the information on firm performance through the yearly ratios for return
on assets, return on equity, current ratio and debt ratio are extracted from the Thomson
Datastream. Daily share prices for one year prior the divestiture announcement and one year
after as well as market prices (S&P 500) are also obtained from the Thomson Datastream.

7
4.2 Firms operating performance and testing

In order to assess the performance of each firm various ratios are extracted for the sample of
companies.
In view of measuring profitability, the return on assets and return on equity3, are compared.
The average of these ratios for the three years prior to the divestiture announcement is then
compared with the same for the post-divestiture period. Subsequently, the percentage change
is calculated and examined.
Similarly, to evaluate the liquidity the same technique is applied to the current ratio4.
It is an indicator of the ability of the company to cover short-term liabilities with currently
available cash and disposable assets.
Likewise, the leverage is assessed applying the same methodology through the debt
ratio5.

4.3 Stock market reaction

4.3.1 Abnormal return

The single-index model provides an appropriate method to determine whether the sample of
stocks have experienced positive abnormal returns after the announcement date. Studies have
applied this method due to its simple and efficient technique (Klein 1986).
The difference between expected and actual returns yields the abnormal returns:
ARst = rst ( st + s rmt ) = rst Rst

(1)

Equation (1) follows the derivation presented below:

rst = st + s rmt + st

(2)

rst depicts the return of stock s on day t. The systematic risk measured by the beta of each
stock s ( s ) is multiplied by the return on the market for day t . Furthermore, a firm-specific

Return on assets (ROA) is net profit after taxes divided by total assets.
Return on equity (ROE) equals net profit after taxes divided by total equity.
4
Current ratio equals current assets divided by current liabilities
5
Debt ratio equals total debt divided by total assets

8
element ( st ) is added and the noise term st accounts for unexplained fluctuations.
Subsequently, equation (3):
Rst = a st + s Rmt

(3)

represents the expected return on the stock in question. The value of the noise term is zero and
thus, has been excluded from equation (3).
R st and Rmt are the realized returns on the stock and the market respectively. The S&P 500
daily index prices retrieved from the Thomson Datastream and the corresponding daily
returns have been calculated and aligned to match the corresponding stock prices of each
company within the time span of two year (one year before and one year after the
announcement).
The abnormal return on stock s on day t ( ARst ) is precisely the difference between
realized return on day t ( rst ) and expected R st calculated through ( st + s rmt ) .

st and s are the single-index model intercept and slope coefficients estimated by the OLS
for each firm over a 200 day period starting 1 year before the divestiture announcement day.

4.3.2 Cumulative Average Returns

The methodology applied here follows to determine whether the stocks experience abnormal
returns following the announcement of the divestment decision. In order to examine this, a
comparison between returns within various periods has been made. As day t=-1 and day t=0
are normally considered to be the announcement day, the effect ex post to the announcement
has been divided into the following periods and further analyzed:
t1 : from day t=-1 and day t=3
t 2 : from day t=-1 and day t=5

t 3 : from day t=-1 and day t=10

t 4 : from day t=-1 and day t=15

t 5 : from day t=-1 and day t=20

t 6 : from day t=-1 and day t=40
Subsequently, cumulative average returns for each period t i where i=1,2,3,4,5,6. The
cumulative average abnormal return for each stock s for each period t i is calculated through
the following formula

CARsti =

1 n

n s =1

( AR )
ti
s

(4)

4.3.3Test for Abnormal Returns

With the aim of examining the statistical significance of the results, a t-test is conducted to
prove that indeed the divestment decisions increase the value to shareholders in the shortterm. For that purpose, the average abnormal cumulative return for the entire sample for each
of the six periods is tested against the null hypothesis that it is insignificantly different from
zero: H 0 : CAR ti = 0 , i.e. H 1 : CAR ti 0

The t-statistic is calculated as follows:

t=

CAR ti

CAR / n

(5)

ti

5 Results

5.1 Firm performance

Table 2 in the Appendix shows the results on the various ratios of firm performance. Data for
some companies was unavailable and thus, the sample for these may be lower.
The percentage change of the profitability measurements of ROA and ROE are
19,57% and 18,70% which is in line with the reasoning that divestments enhance firm
performance. Indeed, the three years prior to the divestment announcement show lower
values. The p-values for the increase are not significant on the 5% level, but on the 10%. Yet,
due to the complexity within each divestment decision, these results give a representative
picture that the profitability of companies increases as a result of the divestment decision.
However, this increase can also be inherent to a firm that decreases the proportion of assets by
ridding itself from some divisions.
In line with the implied improvement of the firm performance, the liquidity indicator
should increase, which is not the case for the sample. In fact a decrease of 10,18% is the
average change of the ratio. This is not surprising as it can be due to increased debt financing
needed for boosting the operations of the company, which consequently results in lower
current ratio. Yet, the significance of the results, measured through the p-value show that the
decrease is rather unlikely (p-value=0,04478).
The measure of leverage shows on average a decrease in the ratio by 6.11%. Such a
decrease should be expected if the performance of the firm is enhanced. Yet, the outcome is

10
not of statistical significance (p-value=0,42634). The rationale behind this result can be biased
due to unforeseen changes of financing policy within each firm.
To sum up, the profitability of the companies increases as a result of the divestment
implementation, but this does not necessarily involve improvement of firm performance as a
certain percentage of assets are divested away. This indicator confirms the conclusions of
previous studies that performance of firms is boosted through the restructuring element.
Whilst, the other measures show mixed result, this is not unanticipated due to the different
nature of each business.

5.2 Post-divestiture abnormal returns

The outcome for the analysis of the response of the market to the announcement of divestiture
is summarized in Table 3 of the Appendix.
The numbers show that in all time periods there is an increase of the average share
price in the days after the announcement. Between day (-1,3) and day (-1,5) there is a jump in
the average returns from 1,44% to 2,4% and then this value decreases to 1,31% over the
period day (-1,10). Furthermore, as shown in the period of day (-1,20), this value approaches
0, which would imply that the stock price has reached its fair value in the eyes of the
shareholders. This is in accordance with previous studies analyzing the shocks due to
announcement of the divestments. Yet, the statistical significance of the results show p-values
around 0.85 which means that the outcome is not supported on a statistically significant level.
Therefore, the hypothesis H 0 : CAR ti = 0 cannot be rejected. Nevertheless, the p-values
approach statistically significant level and might be incorrect due to insufficient sources of the
information on the divestitures.

11
6 Conclusion

This paper attempts to assess the firm performance change as a result of the divestiture
announcement in the first part of the analysis and the market response to the information
conducted in the second.
The random selection of the sample of thirty-eight companies, listed on NYSE,
NASDAQ, or AMEX that have announced a divestment decision between 1998 and 2005, is
the sample applied in this study. The findings in this paper show that the profitability of the
firms increases after the divestment restructuring. Yet, whether or not this is due to the
divestiture or the decreased asset side on the balance sheet as a result of the divestiture is
questionable. For that purpose an analysis in terms of the percentage of assets divested should
be taken into account and can be a ground for future research. The liquidity and leverage
indicators are not statistically significant.
Subsequently, testing the hypothesis for existence of abnormal returns does not
confirm the existence of a short-term shock to shareholder return. However, the explanation
of this effect may be due to other factors. The findings of (Klein 1986), for example, suggest
that the divestiture-announcement effects on stock price of a sell-off firm is significantly
different from zero only if the price of the transaction is also revealed. This is also only
relevant for announcement of this price in the initial divestiture disclosure date. Therefore, a
more thorough distinction between the nature and/or characteristics of the inherent divestiture
decision should be made.
In summary, a relationship between divestitures and subsequent improvement of firm
performance is not supported by the analysis of the accounting indicator. Nonetheless,
excluding unprofitable divisions is a corporate restructuring that focuses on optimal allocation
of resources. A discrepancy between the ratios of assets divested to total assets should be
considered. Furthermore, announcements should also be analyzed in more detail, as
statistically insignificant results for the existence of a shock to short-term shareholder wealth
have not embraced the character of the announcements.

12
References

Boot AWA (1992) Why Hang on to Losers? Divestitures and Takeovers. The Journal of
Finance 47:1401-1423
Borde SF, Madura J, Akhigbe A (1998) Valuation Effects of Foreign Divestitures. Managerial
and Decision Economics 19:71-79
Boudreaux KJ (1975) Divestiture and Share Price. The Journal of Financial and Quantitative
Analysis 10:619-626
Brauer M (2006) What Have We Acquired and What Should We Acquire in Divestiture
Research? A Review and Research Agenda. Journal of Management 32:751-785
Buchholtz AK, Lubatkin M, O'Neill HM (1999) Seller Responsiveness to the Need to Divest.
Journal of Management 25:633-652
Cho MH, Cohen MA (1997) The Economic Causes and Consequences of Corporate
Divestiture. Managerial and Decision Economics 18:367-374
Duhaime IM, Grant JH (1984) Factors Influencing Divestment Decision-Making: Evidence
from a Field Study. Strategic Management Journal 5:301-318
Hopkins HD (1991) Acquisition and divestiture as a response to competitive position and
market structure. Journal of Management Studies 28:665-677
Hoskisson RE, Johnson RA, Moesel DD (1994) Corporate Divestiture Intensity in
Restructuring Firms: Effects of Governance, Strategy, and Performance. The
Academy of Management Journal 37:1207-1251
Ilmakunnas P, Topi J (1999) Microeconomic and Macroeconomic Influences on Entry and
Exit of Firms. Review of Industrial Organization 15:283-301
Jensen MC (1993) The Modern Industrial Revolution, Exit, and the Failure of Internal
Control Systems. The Journal of Finance 48:831-880
Klein A (1986) The Timing and Substance of Divestiture Announcements: Individual,
Simultaneous and Cumulative Effects. The Journal of Finance 41:685-696
Markides CC (1992a) Consequences of Corporate Refocusing: Ex Ante Evidence. The
Academy of Management Journal 35:398-412
Markides CC (1992b) The Economic Characteristics of De-diversifying Firms. British Journal
of Management 3:91-100
Montgomery CA, Thomas AR (1988) Divestment: Motives and Gains. Strategic Management
Journal 9:93-97
Montgomery CA, Thomas AR, Kamath R (1984) Divestiture, Market Valuation, and Strategy.
The Academy of Management Journal 27:830-840
Powers E (2001) Spinoffs, Selloffs and Equity Carveouts: An Analysis of Divestiture Method
Choice, Working paper, University of South Carolina
Slovin MB, Sushka ME, Ferraro SR (1995) A comparison of the information conveyed by
equity carve-outs, spin-offs, and asset sell-offs. Journal of Financial Economics 37:89104
Tan G, Yuan L (2003) Strategic incentives of divestitures of competing conglomerates.
International Journal of Industrial Organization 21:673-697

13
Appendix - Table 1 Sample Selected
Company
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38

Sinclair Broadcast Group, Inc.

CheckFree Holdings Corporation
Cassling Diagnostic Imaging, Inc.
Worthington Industries, Inc.
The Perrigo Company
Halliburton Company
General Cable Corporation BICCGeneral
AstraZeneca
Flowserve Corporation
MagneTek, Inc.
Spherion Corporation
Landec Corporation
Radio One, Inc.
International Paper
TransCanada PipeLines Limited
Edwards Lifesciences Corporation
SunTrust Banks, Inc.
PolyOne Corporation
Lockheed Martin
MeadWestvaco Corporation
Air Products
LaBarge, Inc.
Walter Industries, Inc.
ConAgra Foods, Inc.
Entravision Communications Corporation
The South Financial Group, Inc.
Monsanto Company
The Alberto- Culver Company
Parker Hannifin Corporation
The J. M. Smucker Company
Celestica Inc.
Webster Financial Corporation
Irwin Financial Corporation
Newport Corporation
Wilshire Enterprises, Inc.
CIT Group Inc.
Northeast Utilities
Affiliated Computer Services, Inc.

Divestiture
DS Mnemonic Announcement
Date
@SBGI
19-03-1998
@CKFR
01-04-1998
U:CDI
15-04-1998
U:WOR
12-06-1998
@PRGO
29-06-1998
U:HAL
22-01-1999
U:BGC
09-02-2000
AZN
06-03-2000
U:FLS
20-07-2000
U:MAG
27-07-2000
U:SFN
12-09-2000
@LNDC
22-09-2000
@ROIA
09-11-2000
U:IP
30-11-2000
U:TRP
08-05-2001
U:EW
04-06-2001
U:STI
04-12-2001
U:POL
11-01-2002
U:LMT
30-05-2002
U:MWV
24-07-2002
U:APD
14-01-2003
U:LB
31-03-2003
U:WLT
21-07-2003
U:CAG
30-10-2003
U:EVC
15-01-2004
@TSFG
03-02-2004
U:MON
29-03-2004
U:ACV
05-05-2004
U:PH
08-06-2004
U:SJM
26-07-2004
U:CLS
24-09-2004
U:WBS
08-02-2005
U:IFC
14-03-2005
@NEWP
06-04-2005
U:WOC
15-08-2005
U:CIT
30-09-2005
U:NU
07-11-2005
U:ACS
11-11-2005

14

Appendix Table 2 Percentage Change of Firm Performance Indicators ex post divestiture

% change ROA
Mean
n
Standard
Deviation
t-statistic
p-value

% change ROE

19,57% Mean
38 n
Standard
0,79869 Deviation
1,51022 t-statistic
0,93451 p-value

18,70%
37
0,84277
1,34961
0,91143

% change
Current Ratio
Mean
-10,18%
n
32
Standard
Deviation
0,33923
t-statistic
-1,69772
p-value
0,04478

% change
Debt/Assets
Mean
-6,11%
n
38
Standard
Deviation 2,02867
t-statistic -0,18571
p-value
0,42634

15
Appendix Table 3 Abnormal Returns
DS
Mnemonic
@SBGI
@CKFR
U:CDI
U:WOR
@PRGO
U:HAL
U:BGC
AZN
U:FLS
U:MAG
U:SFN
@LNDC
@ROIA
U:IP
U:TRP
U:EW
U:STI
U:POL
U:LMT
U:MWV
U:APD
U:LB
U:WLT
U:CAG
U:EVC
@TSFG
U:MON
U:ACV
U:PH
U:SJM
U:CLS
U:WBS
U:IFC
@NEWP
U:WOC
U:CIT
U:NU
U:ACS
Cumulative
Average
n
Standard
Deviation
t-statistic
P-values

Day -1, 3
-0,7361%
3,9539%
-0,5112%
-0,5523%
-0,3940%
-0,7212%
-2,6568%
0,8411%
53,2755%
0,2548%
1,1934%
-0,1792%
-2,3652%
1,1642%
0,2387%
1,5748%
0,0997%
1,3026%
-0,1317%
0,3357%
0,3671%
-0,0651%
-0,2385%
-0,1062%
-0,2921%
0,0722%
0,8688%
-0,5661%
-0,0966%
-1,4163%
-0,0940%
0,0836%
0,4604%
1,0812%
-0,6465%
0,0639%
-0,5746%
-0,2900%

Day -1, 5
Day -1, 10
Day -1, 15
Day -1, 20
Day -1, 40
0,0788%
0,2363%
0,1329%
-0,1398%
-0,1687%
3,4624%
1,9013%
0,9678%
0,9394%
0,0125%
-0,6320%
-0,6892%
-0,6863%
-0,4013%
-0,6923%
-0,9987%
-0,7944%
-0,4696%
-0,5269%
-0,2743%
-0,1771%
-0,8734%
-0,3373%
-0,3296%
-0,0632%
-0,7981%
0,2254%
0,0876%
-0,1833%
0,3923%
-1,8933%
0,0667%
1,1671%
0,5562%
-0,0892%
2,1335%
1,2546%
1,1124%
0,7746%
0,4456%
87,7376%
47,4359%
27,1995%
-1,5300%
4,1643%
0,3763%
0,3549%
0,9890%
0,9554%
0,7967%
0,7579%
-0,2024%
-0,1977%
-0,1527%
0,1366%
0,2245%
0,0933%
-1,0918%
-0,2788%
-0,4053%
-1,0311%
-1,1332%
0,0104%
0,4956%
0,7014%
0,4073%
0,7522%
1,0233%
0,9808%
0,2144%
0,2158%
0,2229%
0,0377%
0,1171%
0,1147%
0,9884%
0,4065%
0,4326%
0,6052%
0,2202%
0,0028%
-0,1784%
-0,1252%
-0,0611%
-0,0314%
0,2988%
0,5908%
0,5040%
0,3545%
0,3188%
0,2789%
0,4723%
0,6995%
0,6450%
0,0052%
-0,8963%
-0,5632%
-0,5414%
-0,8999%
-0,4075%
0,1832%
0,0144%
0,1762%
0,1674%
-0,0074%
0,0878%
0,0359%
-0,1618%
-0,0020%
0,2182%
0,1580%
-0,0813%
0,0644%
0,0267%
-0,3432%
-0,1011%
0,0833%
0,1041%
0,1112%
0,1630%
0,0728%
-0,6347%
-0,3923%
-0,1976%
-0,4634%
0,1729%
0,1116%
0,1950%
0,0448%
-0,0211%
0,5234%
0,3051%
0,1724%
0,1459%
-0,0737%
-0,3935%
-0,3377%
-0,2711%
-0,0877%
0,0823%
-0,1108%
-0,1027%
0,0587%
0,0310%
0,0776%
-0,5908%
0,0017%
0,0977%
0,1064%
0,0224%
0,3726%
0,0915%
-0,1863%
0,2036%
0,4138%
-0,0034%
-0,0639%
-0,1448%
-0,0362%
0,0643%
0,4779%
0,4743%
0,1800%
-0,1171%
-0,1028%
1,0383%
0,7983%
0,3561%
-0,1691%
-0,1442%
-0,4757%
-0,3344%
-0,2359%
-0,4423%
-0,1104%
0,0922%
-0,0752%
0,1412%
0,0954%
0,1730%
-0,4931%
0,1341%
0,1005%
0,0772%
0,1564%
-0,3160%
-0,1623%
-0,2554%
-0,1769%
0,0889%

1,4368%
38

2,4008%
38

1,3115%
38

0,8135%
38

0,0448%
38

0,1470%
38

0,087046
1,017503
0,845543

0,142449
1,038944
0,850585

0,077054
1,049213
0,85296

0,044244
1,133453
0,871488

0,00495
0,55749
0,711404

0,007327
1,236506
0,891865