Event Study Analysis

The phenomenon of match-fixing can be found in any field of sport contests. Match fixing not only weakens the joy of watching sport competitions for the fans, but also causes financial losses for the investors. Match fixing affects many sports in many different ways,
but, within the confines of this study, the study will focus on the relationship between matchfixing activities and sport clubs’ stocks traded at the Istanbul Stock Exchange. In order to analyze the effects of football club related events caused by match-fixing activities on stock
prices, this paper uses event study methodology by Brown and Warner. The empirical findings in this paper suggest that there are statistically significant abnormal returns around the publication date.

The primary objective of present study is to examine the impact of merger and acquisition announcements during 2000–2018 on stock returns and intraday volatility of banks listed on National Stock Exchange in India. The sample of 383 mergers and acquisitions events has been analyzed with the help of event study methodology. Findings suggest that consolidation in Indian banking sector leads to positive average abnormal returns and wealth creation for acquirer bank’s shareholders. These findings are in agreement with Onikoyi et al. (2014), Kumar et al. (2011), and Anand and Singh (2008), and contrary to the evidence provided by Sim (2015), Asimakopoulos and Athanasoglou (2012), and Cybo-Ottone and Murgia, (2000). Further, results show that merger and acquisition in banking sector lead to curvy jumps in volatility around announcement date, which implies that disclosure of restructuring events in the banking sector affects return variability. These results confirm the observations by Pessanha et al. (2016), Kamau (2016), and Louhichi (2008).

Internet has become an important part of our everyday life. We use services like Netflix, Skype, online banking and Scopus etc. daily. We even use Internet for filing our tax returns and communicating with municipalities. This dependency on network-based technologies provides an opportunity to malicious actors in our society to remotely attack IT infrastructure. One type of cyberattack that may lead to unavailability of network resources is known as distributed denial of service (DDoS) attack. A DDoS attack leverages many computers to launch a coordinated Denial of Service attack against one or more targets.

These attacks cause damages to victim businesses. According to reports published by several consultancies and security companies these attacks lead to millions of dollars in losses every year. One might ponder: are the damages caused by temporary unavailability of network services really this large? One of the points of criticism for these reports has been that they often base their findings on victim surveys and expert opinions. Now, as cost accounting/book keeping methods are not focused on measuring the impact of cyber security incidents, it is highly likely that surveys are unable to capture the true impact of an attack. A troubling fact is that most C-level managers make budgetary decisions for security based on the losses reported in these surveys. Several inputs for security investment decision models such as return on security investment (ROSI) also depend on these figures. This makes the situation very similar to the parable of the blind men and the elephant, in which several blind men try to conceptualise how the elephant looks like by touching it. Hence, it is important to develop methodologies that capture the true impact of DDoS attacks. In this thesis, we study the economic impact of DDoS attacks on public/private organisations by using an empirical approach.

In Chapter 1 we explain the motivation for our work and illustrate the problems associated with measuring the economic impacts of DDoS attacks. We then formulate our main research question and break it down into sub-questions that we investigate in later chapters. We state our main research question as follows:

What are the economic impacts of DDoS attacks on public/private organisations?

Our first contribution is identifying the main stakeholders in a DDoS attack. In Chapter 2, we discuss the evolution of DDoS attacks in the last decade and briefly describe the strategies adopted by attackers and defenders. By studying the business model of a botnet, we also analyse how DDoS attacks can be used by attackers for monetary gains.

Our second contribution is to develop methodologies to capture the direct impact of DDoS attacks. In Chapters 3 and 4 we measure the direct consequences of DDoS attacks on large managed domain name service (DNS) providers and a cryptocurrency exchange respectively. We find that a successful DDoS attack on a managed DNS service provider, changes the security behaviour of its customers. In the case of cryptocurrency exchange we find that the losses are recovered very quickly, on most instances even within a single day. We show how longitudinal datasets can be used to asses the impacts.

The third contribution of this thesis is to develop methodologies to measure the indirect consequences of DDoS attacks. In Chapter 5, we propose a more robust event study approach and use it to analyse the impact of DDoS attack announcements on victims' stock prices. We find that in most cases this impact is short lived (5-10 days). In Chapter 6, we introduce a dataset based on web articles on DDoS attacks which captures the social context of an attack. We show how machine learning algorithms can be used to filter news articles that are reporting a DDoS attack from the dataset.

We recognise that it is not possible to measure the true impact of DDoS attacks on the victim without learning about the aims of attackers. In Chapter 7, we propose a model based on Routine Activity Theory (RAT) to study attacker's aims by using the information about the attack reported in the news articles. Later in Chapter 8, we show how postulates of RAT may be used to explain DDoS attack trends on educational institutions.

Our results show that DDoS attacks are not a random phenomenon and attackers are instigated by the circumstances surrounding them. We observe that measuring the true economic impact of these attacks is complex and requires us to consider the context of an attack. Some of the consequences of short duration IT unavailability are temporary and they are recovered rather quickly. Hence, to take this work forward we propose to give economic meaning to the empirical data that is presently available and collect more data at employee level to measure the resilience of firms towards IT unavailability.

The research empirically examines the stock market’s reaction to M&A announcements
on the Zimbabwe Stock Exchange (ZSE) over the period, 2009 to 2017. The research consist of fourdifferent types of M&A namely horizontal, conglomerate, cross border and an acquisition of anon-listed entity. Basing on the Efficient Market Hypothesis (EMH), the study used the widelyadopted Event Study Methodology (EVM) to determine the existence of abnormal returns (AR)and cumulative abnormal returns (CAR) following M&A announcements hence assessed the semi-strong form efficiency of the local bourse on such news. t-Tests were run at 95%confidence level to determine the significance of abnormal and cumulative abnormal returns.The empirical results show that significant AR and CAR have been negative for acquiring firmsand positive for target firms conforming to general market reactions to M&A announcementsas presented by past studies. The irregular AR and CAR patterns across counters suggest thatinvestors do not quickly react to M&A news possibly inferring a weak form efficiency of the ZSE. There appears to be share price reactions days leading to the announcement, confirmedwith significant pre-announcement period CAR, this suggests that there are informationleakages prior to public announcement. Based on these results, it can be concluded that thelocal stock market significantly reacts to M&A announcements and that the ZSE exhibits aweak form efficient on M&A announcements.

We provide the first simulation evidence of event-study test performance in multi-country non-US samples.
The nonparametric rank and generalized sign tests are more powerful than two common parametric
tests, especially in multi-day windows. The two nonparametric tests are mostly well specified, but neither
is perfectly specified in all situations. The parametric standardized cross-sectional test can provide
a useful robustness check but is less powerful than the nonparametric tests and rejects too often in single-
market samples and when firm-specific events affect the market index. Local-currency market-model
abnormal returns using national market indexes are sufficient.

O objetivo desta dissertação é investigar a reação no mercado de ações diante dos eventos de fusões e aquisições de bancos no Brasil. A reação do mercado foi apurada por meio do uso da técnica econométrica de estudo de eventos, que foi aplicada na investigação da ocorrência de retornos anormais em janelas de tempo de até 41 dias em torno dos eventos de fusões e aquisições de bancos. Com intuito de trazer robustez as análises foram feitas as mensurações dos retornos anormais de longo prazo utilizando uma janela de 2 anos uteis, sendo esta de 252 dias anteriores ao evento até os 252 dias posteriores ao evento focal. O estudo mensurou a reação do mercado de ações a diversas motivações para as fusões e aquisições, sendo estas: efeitos sinérgicos, ondas de fusões e aquisições, fusões entre fronteiras (esta trata da diversificação de mercados) e, fusões por problemas financeiros. Como fator adicional o estudo observou efeito sobre os desdobramentos das fusões e aquisições bancárias, essa análise foi denominada de efeitos sistêmicos. Os resultados desta pesquisa apontam para o surgimento de retornos anormais acumulados negativos para bancos adquirentes e positivos para bancos adquiridos devido aos eventos de fusões e aquisições. Tais resultados são explicados pelo efeito cético aos ganhos sinérgicos para os bancos adquirentes e pela criação de valor dos bancos adquiridos, esse resultado corrobora com a análise pós-fusão em que os indicadores de desempenho contábil dos bancos adquirentes são negativos. Ao se observar a reação do mercado de ações a eventos de longo prazo (acumulo de retornos anormais em janelas de 2 anos uteis) atenta-se para os resultados positivos de retornos anormais tanto para bancos adquiridos quanto para bancos adquirentes. Esse resultado, para bancos adquirentes, é explicado pelo fato de que fusões e aquisições de bancos usualmente demoram a serem integralizadas e os efeitos sinérgicos deste mecanismo só irão aparecer no longo prazo.

Present study examines the impact of merger events on stock returns of acquiring firms. The sample size is composed of 428 merger events that took place during 2008 to 2015 other than financial sector and agricultural mergers. Event study methodology has been applied by using seventeen days event window i.e. -8 to +8 days stock returns. Results indicate that merger deals do not bring any abnormal changes in stock returns pre and post event date, which implies that traders are not able to gain abnormal returns in pre-post event period. These findings are consistent with Bradley et al., (1988); Servaes, (1991); Mulherin and Boone, (2000), Khan (2011), Kemal (2011), Khanal et al. (2014). The findings obtained from this research may be helpful for researchers, fund managers, market regulators, investment managers etc.

In recent years, Brazil has faced economic and political crises resulting from the actions of an elaborate syndicate of corruption in the government. The financial literature points to two lines of thought related to corruption. One line defends the existence of benefits and the other points to losses in the public network. An event study based on the GARCHX-in-Mean model was conducted to understand the relationship between corruption and the decrease in the level of investment, and identify the potential impact of corruption on selected assets. The results indicate that there was a significant devaluation of the largest state-owned companies traded on the Brazilian Stock Exchange and in American Depositary Receipts, leading to money laundering and a decrease in economic growth. This supports the theory of long-term crisis due to corruption.

Debt financing is a major source of corporate financing in many emerging countries including Malaysia. However, the knowledge on shareholders wealth created from debt financing decision and sources of the wealth creation is scant and inconclusive. The scarcity of literature is more noticeable in emerging market environment and market where Islamic debt securities coexist with conventional debt securities. In response to this knowledge gap, this study attempts to examine the short and long run stock return performance of debt security issuers as well as the determinants of the long run stock return performance. Samples of 136, 165, 145, and 126 bond issues during January 2001 to October 2009 are used for analyzing short run announcement effects, as well as one, two, and three year performance, respectively. Using event study method, this study finds that the shareholders of bond-issuing firms experience significantly positive wealth creation around the announcement of the issues. Value weighted average of cumulative abnormal return and buy and hold abnormal return of the portfolio of debt issuers as well as the intercept of Fama-French three factor model is used for estimating the long run performance. The significance of buy and hold return is tested by implementing bootstrapped skewness adjusted, and heteroscedasticity and serial correlation consistent t-statistics. Results show that the shareholders of bond issuing firms experience significant long run performance in three-year period after the issue. Among the significant determinants. capital structure change, growth opportunity, and ownership concentration influence long run performance positively. The effects of growth opportunity and ownership concentration are significantly moderated by capital structure changes. Some variables only affect the long run performance when the debt issuance is associated with capital structure change. Among them, choice of Islamic debt, debt tax shield. and free cash flow which influence the long run performance negatively, while firm size influences positively. As a whole, this study finds evidence for partial applicability of trade off and agency costs theory in explaining long run wealth creation by the debt financing decision in Malaysia. The results of this study indicate that large companies and high ownership concentration companies should issue debts for meeting their financial requirement. Large companies can enjoy the benefits of issuing debts, such as interest tax saving, without facing severe financial distress costs, while high ownership concentration companies that issue debts can retain control on the companies' activities and overcome usage of free cash flows for private benefits.

The main aim of this study is to investigate whether market reacts asymmetrically to the issuance of
selected Sukuk in Malaysia for the period 2009-2011. 45 companies are selected and data on the date of issuance,
issuers, issue size in million and tenors in years for each group are collected from the Securities Commission
Malaysia (SC) and Bloomberg database. The study employs event study methodology using cumulative average
abnormal return (CAAR) on all symmetric and asymmetric events of [0,0] 1-day, [-1,+1] 3-day, [-2, +2] 5-day, [-
5,+5] 11-day, [-1,+2] 4-day, [-2,+1] 4-day, [-2,+5] 8-day, [-5,+2] 8-day, [-15,+5] 21-day, [-5,+30] 36-day, [-30,+60] 91-
day, [-60,+30] 91-day and [-90,+15] 106-day based on the reaction of the FTSE Hijrah Shari’ah Index and Dow
Jones Islamic Market Index (DJIM) to the announcement of Sukuk issuance. The findings would be useful to
Sukuk issuers and decision-makers to ensure the stability of the Islamic capital market and sustainable economic
growth.

The extensive issuance of Islamic bonds in different parts of the world raises the question of whether such a financing activity leads to better firm performance or not and what the determinants are of this performance. The literature offers scant answers. Thus, this study measures the long-run performance of Malaysian firms following their Islamic debt issues and explores the agency cost explanations of the performance. One-, two-, and three-year stock return performances are measured by the buy and hold abnormal return (BHAR) of Islamic debt issues using samples of 113, 101, and 86 Islamic debt issues, respectively, in the 20012009 period. The significance of the performance is tested by heteroscedasticity-and-serial correlation-consistent t-statistics. The determinants of BHAR are investigated using the ordinary least square regression method. The results show a significant positive long-run performance beyond a one-year period that is negatively influenced by growth opportunity and free cash flow when the issue increases the debt ratio.

This paper focuses on providing empirical evidence that the conflict in Georgia 08/08/08 had an effect on the worldwide energy market. The idea was inspired by the popular event studies, testing the effects of the conflicts in oil and gas rich countries, where they found out significant aftermath on the stock market. Using the Event Study approach to detect the influence of the conflict, we failed to support these claims. We compared the returns on energy industry before the event and after the event, made statistical tests on them, but did not find any evidence of our hypothesis to be true.