Unit:
Κατεύθυνση Διαχείριση Κεφαλαίων και ΚινδύνωνLibrary of the Faculty of Economics and of the Faculty of Business Administration
Author:
Chliaoutaki Christina
Supervisors info:
Κατεβάτης Αθανάσιος, Συνεργάτης, Υποψήφιος Διδάκτωρ, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
Original Title:
Οικονομική ανάλυση μετοχών που έχουν κάνει reverse split στο Χρηματιστήριο Αθηνών κατά τα έτη 2010-2019
Translated title:
Financial analysis of reverse stock split in the Athens Stock Exchange during the years 2010-2019
Summary:
Summary
The subject of this thesis is the economic analysis of reverse stock splits on the Athens Stock Exchange during the decade 2010-2019 and whether they affect abnormal returns around the announcement date of the event. To document the methodology that was followed, a literature review was first conducted regarding the existence of abnormal returns around the announcement date of splits and reverse splits.
The empirical study was then compiled, reporting on how the sample was collected and evaluated, and the methodology was recorded. The methodology of the study was based on the Single Index Model using event study methodology and simple linear regression using Least Squares method.
The existence of a statistically significant positive or negative abnormal return as a result of the announcement of reverse split was examined as well as whether there is a statistically significant correlation between the independent variables of the regression model and the dependent variable. The results of the event study show that there is a positive statistically significant abnormal return on the day before the announcement of the reverse split (t-1) (a=10%). In addition, there is a positive statistically significant abnormal return on the third day after the announcement of the event (a=5%). The simple linear regression model showed that in three cases, R2 was above 90%, which explains very accurately any correlation between the variables. In this sample, the stock price, which is the independent variable (MV) negatively affected the cumulative abnormal stock return as it is a statistically significant variable
Main subject category:
Social, Political and Economic sciences
Keywords:
LINEAR REGRESSION, EVENT STUDY, SINGLE INDEX MODEL, REVERSE STOCK SPLIT
