AN EVENT STUDY ANALYSIS OF STOCK PRICE REACTION TO MERGERS OF GREEK INDUSTRIAL AND CONSTRUCTION FIRMS

Using the event study methodology introduced by Brown and Warner (1985) for six Greek industrial and construction firms, we attempt to measure the abnormal returns on stock prices on the day of the acquisition announcement. Estimation period and event period in our market model is -211 -11 -10, +10 respectively. In order to allow for asymmetric effect of news on the abnormal returns we use an E-GARCH model for period -211,-1. Empirical results show that on day t=0, AAR go slightly positive, while CAAR remain positive (0.4% and 1.3% respectively). E-GARCH model results show that good news have a positive effect on abnormal returns, while bad news a marginal negative one.