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M&A Event Study

  1. #1
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    Join Date
    03-01-2013
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    Glasgow
    MS-Off Ver
    Excel 2003
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    2

    Question M&A Event Study

    Hi everyone,

    I am currently doing a study on the share price reaction of UK firms to M&A announcements. I have close to 900 announcements.

    I have an excel workbook with the following 4 sheets:

    1. Daily stock price for each firm from the period 2005-2012 with the firm code and the corresponding announcement date.
    2. Daily return for each firm for the same period
    3. Daily value of the FTSE All Share Index
    4. Daily return of the FTSE All Share Index

    Basically, I need help creating a formula which I can implement in to Sheet 5 which will grab the stock returns for each firm from Sheet 2 for the day before the M&A announcement (t-1) to the day after (t+1).
    In the column beside I would like to be able to fetch the return for the All Share Index from Sheet 4 for the same time period - so that both these returns can easily be compared.
    In the third column, and similar to the first, I need to daily return for the firm but this time from t0 to t250. Again, I need the corresponding returns for the All Share Index listed in the next column.

    Ideally, rather than simply fetching the daily return figures, the formula would instead return the sum of these.

    I have seen formulas which do very similar things, however, I cannot manage to edit any of them correctly to do exactly what I need it to do.

    To clarify what exactly it is I require help with I have attached a sample from my workbook.

    If there is anything that I haven't explained clearly enough then please feel free to contact me.

    Thanks,
    Ryan
    Attached Files Attached Files

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