回归分析在股票中的应用.docVIP

MA in International Financial Analysis NBS8002 Techniques for Data Analysis Assignment of Event Study Student name: ZHUOXUAN HOU Student number: 109041249 Title: The Analysis of CVRD Acquisition  Contents Introduction 1 Preparation for OLS 1 The Market Model benchmark 1 Choice of Data 2 Source and validity of the data 2 Choice of test period and estimation period 3 Choice of the market index 3 Coefficient Stability Test 3 Ordinary Least Squares 4 Assumptions of Ordinary Least Squares Regression 5 1. Model is linear in parameters 5 2. The data are a random sample of the population 5 3. The expected value of the errors is always zero 7 4. The independent variables are not too strongly collinear 7 5. The independent variables are measured precisely 7 6. The residuals have constant variance 7 7. The errors are normally distributed 11 Proceed OLS Regression 12 Interpretation and Discussion of Abnormal Returns 12 Interpretation of abnormal returns for each event 12 Interpretation of abnormal returns for the series of events 16 Conclusions 19 List of References 20  The Analysis of CVRD Acquisition Introduction This paper analyses the impact of acquisition events on the stock returns of CVRD. These events include: an announcement that proposed all-cash offer to acquire Inco by CVRD; comments on Inco Board’s decision to recommend its Offer and announcement of extension; extension of its offer for Inco; CVRD acquires 75.66% of Inco; CVRD pays US$ 13.3 billion for the acquisition of Inco; CVRD holds 86.57% of Inco. The paper uses OLS method to calculate the abnormal returns during the event period, and then interpret the results generated by OLS. At first, the price data are gained from Yahoo Finance; then, a Market Model is set, after which the data are processed with Microsoft Office Excel and Minitab, using Chow-test, Durbin-watson test, Goldfield-Quardt test, etc, to test whether the data are suitable for regression; afterwards, a regression is made and a Market Mode