Файл: Влияние слияний компаний на концентрацию в отрасли (по выбору).pdf
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СОДЕРЖАНИЕ
ГЛАВА 1. ТЕОРЕТИЧЕСКИЕ ОСНОВЫ СЛИЯНИЙ И ПОГЛОЩЕНИЙ
1.1 Основы движения рыночных котировок, вызванных объявлениями об M&A сделках
1.2 Классификация мотивов M&A сделок
1.3 Основные методы исследования эффективности сделок M&A
ГЛАВА 2. ВЛИЯНИЕ ОБЪЯВЛЕНИЯ О СДЕЛКЕ M&A НА ЦЕНУ ТОРГУЕМЫХ ЦЕННЫХ БУМАГ
2.1 Характеристика рынка слияний и поглощений
2.2 Особенности и проблемы российского рынка слияний и поглощений
2.4 Описание выборки и формулирование гипотез
ГЛАВА 3. АНАЛИЗ РЕЗУЛЬТАТОВ МОДЕЛИ
3.1 Анализ и сравнение методик расчета для компаний-поглотителей
3.2 Анализ и сравнение методик расчета для компаний-целей
3.3 Анализ влияния объема и вида сделки на объем кумулятивной избыточной доходности
Приложение 4
Расчет кумулятивной избыточной доходности при расчете нормальной доходности как среднего значения для компаний-целей
|
№ |
Company |
D+5 |
D+4 |
D+3 |
D+2 |
D+1 |
D0 |
CAR (5+D0) |
|
1 |
ROSN RX Equity |
-0.74% |
1.23% |
2.40% |
4.59% |
-1.43% |
5.41% |
11.46% |
|
2 |
BANE RX Equity |
-3.66% |
1.61% |
2.18% |
0.10% |
-6.46% |
-0.88% |
-7.09% |
|
3 |
BANE RX Equity |
-0.13% |
-0.22% |
-0.06% |
-0.06% |
-0.08% |
-0.13% |
-0.69% |
|
4 |
GAZP RX Equity |
-0.03% |
0.26% |
0.50% |
-0.26% |
-4.46% |
-1.14% |
-5.13% |
|
5 |
BANE RX Equity |
-1.35% |
-0.14% |
4.37% |
-0.15% |
0.84% |
-1.51% |
2.06% |
|
6 |
UPRO RX Equity |
-0.17% |
-0.42% |
-0.54% |
-1.23% |
-1.69% |
0.69% |
-3.37% |
|
7 |
BANE RX Equity |
0.12% |
-2.26% |
2.21% |
-2.10% |
0.02% |
2.46% |
0.45% |
|
8 |
SIBN RX Equity |
-0.55% |
-0.01% |
0.74% |
-1.12% |
0.95% |
0.06% |
0.07% |
|
9 |
NKNC RX Equity |
-0.96% |
-2.13% |
0.24% |
4.85% |
-1.66% |
-0.97% |
-0.61% |
|
10 |
TATN RX Equity |
-0.36% |
-2.74% |
-1.63% |
7.19% |
-2.39% |
-2.21% |
-2.15% |
|
11 |
NKNC RX Equity |
0.36% |
-0.98% |
3.36% |
0.19% |
-1.97% |
-2.14% |
-1.17% |
|
12 |
NVTK RX Equity |
-1.14% |
-1.04% |
-2.04% |
-0.63% |
0.89% |
-2.44% |
-6.40% |
|
13 |
BANE RX Equity |
0.40% |
0.92% |
-1.08% |
0.48% |
-0.30% |
-0.51% |
-0.09% |
|
14 |
IRAO RX Equity |
-1.70% |
-0.60% |
5.23% |
-0.13% |
1.03% |
-0.66% |
3.16% |
|
15 |
MFGS RX Equity |
0.09% |
-0.81% |
2.16% |
-0.37% |
-1.93% |
0.54% |
-0.31% |
|
16 |
KZOS RM Equity |
-0.23% |
0.40% |
-4.72% |
-4.80% |
7.13% |
1.64% |
-0.58% |
|
17 |
HALS RX Equity |
-0.87% |
0.49% |
-1.20% |
0.15% |
0.15% |
0.15% |
-1.14% |
|
18 |
NMTP RX Equity |
0.13% |
-2.60% |
0.99% |
3.26% |
0.34% |
-0.12% |
2.01% |
|
19 |
SNGS RX Equity |
-4.42% |
-2.57% |
-4.54% |
-2.87% |
-3.89% |
-1.12% |
-19.40% |
|
20 |
GAZP RX Equity |
-0.26% |
0.81% |
-2.99% |
0.40% |
-1.48% |
0.67% |
-2.84% |
|
21 |
VTBR RX Equity |
-1.00% |
-1.51% |
-0.46% |
2.60% |
2.86% |
2.89% |
5.38% |
|
22 |
AFKS RX Equity |
-4.21% |
1.07% |
6.35% |
8.56% |
3.98% |
4.79% |
20.52% |
|
23 |
AFKS RX Equity |
-1.76% |
2.46% |
2.45% |
1.37% |
-3.51% |
-2.91% |
-1.91% |
|
24 |
BANE RX Equity |
2.20% |
0.41% |
0.93% |
-1.07% |
0.49% |
-0.30% |
2.65% |
|
25 |
KAZT RM Equity |
-0.89% |
-0.89% |
0.17% |
-2.85% |
2.32% |
-5.98% |
-8.12% |
|
26 |
RSTI RX Equity |
0.30% |
-0.72% |
0.22% |
1.82% |
-0.27% |
2.33% |
3.69% |
|
27 |
OPIN RX Equity |
-1.07% |
-0.12% |
0.13% |
-0.11% |
-0.11% |
0.14% |
-1.15% |
|
28 |
AFKS RX Equity |
2.47% |
1.59% |
8.07% |
0.35% |
-2.52% |
-1.62% |
8.33% |
|
29 |
UTAR RM Equity |
-2.32% |
2.15% |
-1.01% |
-0.56% |
-0.55% |
0.79% |
-1.50% |
|
30 |
AFKS RX Equity |
0.36% |
-0.95% |
-2.44% |
2.47% |
3.55% |
2.01% |
5.00% |
|
31 |
AFKS RX Equity |
3.43% |
1.89% |
-2.30% |
0.11% |
-5.35% |
-0.53% |
-2.75% |
|
32 |
JNOS RM Equity |
2.65% |
-0.13% |
-2.83% |
2.65% |
-0.13% |
-0.13% |
2.08% |
|
33 |
LKOH RX Equity |
-0.17% |
-0.91% |
2.41% |
1.75% |
1.77% |
-0.30% |
4.56% |
|
34 |
SBER RX Equity |
3.40% |
-0.53% |
-3.44% |
-1.39% |
0.72% |
-1.48% |
-2.72% |
|
35 |
AFKS RX Equity |
0.13% |
-5.34% |
-0.51% |
2.58% |
-3.12% |
-2.48% |
-8.74% |
|
36 |
ROSN RX Equity |
1.90% |
0.59% |
-1.59% |
-0.87% |
1.30% |
-1.47% |
-0.13% |
|
37 |
NNSBP RM Equity |
-1.15% |
-1.05% |
-1.05% |
-1.25% |
-0.67% |
-1.34% |
-6.52% |
|
38 |
AFLT RX Equity |
0.93% |
-0.08% |
-4.68% |
-5.55% |
1.07% |
-1.70% |
-10.02% |
|
39 |
RTKM RX Equity |
0.85% |
2.47% |
-3.03% |
-1.83% |
-0.55% |
-2.19% |
-4.28% |
|
40 |
NAUK RM Equity |
-1.56% |
-1.56% |
-1.56% |
-16.33% |
-1.56% |
-1.56% |
-24.14% |
|
41 |
GTLC RM Equity |
-6.17% |
19.18% |
-6.84% |
-5.97% |
-2.93% |
-1.99% |
-4.71% |
|
42 |
TUZA RM Equity |
-0.85% |
-0.85% |
-0.85% |
-0.85% |
-0.85% |
-0.85% |
-5.11% |
|
43 |
NKSH RM Equity |
-3.49% |
0.01% |
0.01% |
0.01% |
0.01% |
0.01% |
-3.46% |
|
44 |
RLMN RM Equity |
0.11% |
0.11% |
-1.74% |
0.11% |
1.04% |
1.05% |
0.68% |
|
45 |
PLSM RM Equity |
21.77% |
-0.02% |
7.68% |
-18.77% |
20.74% |
39.46% |
70.86% |
|
46 |
TATN RX Equity |
0.19% |
-1.21% |
-0.84% |
-1.75% |
-2.05% |
1.63% |
-4.05% |
|
47 |
KZOS RM Equity |
0.15% |
-4.97% |
-5.05% |
6.88% |
1.39% |
-2.62% |
-4.22% |
|
48 |
GAZC RM Equity |
-0.85% |
-0.85% |
-0.85% |
-0.85% |
-0.85% |
-0.85% |
-5.08% |
|
49 |
TRNFP RX Equity |
-2.53% |
-0.61% |
-0.84% |
0.31% |
-0.58% |
0.31% |
-3.94% |
|
50 |
GAZC RM Equity |
-0.83% |
-0.83% |
-0.83% |
-0.83% |
-0.83% |
-0.83% |
-5.00% |
|
51 |
TATN RX Equity |
0.69% |
0.23% |
-0.97% |
-0.44% |
0.07% |
1.08% |
0.67% |
|
Average |
-0.06% |
-0.03% |
-0.19% |
-0.44% |
-0.03% |
0.45% |
-0.29% |
|
|
Дисперсия |
0.13% |
0.10% |
0.09% |
0.20% |
0.14% |
0.35% |
1.47% |
|
|
Статистика 02 |
1.64% |
1.25% |
1.17% |
2.50% |
1.78% |
4.34% |
18.37% |
|
|
P-значение*10^n |
0.0086 |
0.0948 |
0.0017 |
340.7529 |
0.0699 |
0.0333 |
0.1415 |
Приложение 5
Расчет кумулятивной избыточной доходности при расчете нормальной доходности с помощью модели рыночного индекса для компаний-целей
|
№ |
Company |
D+5 |
D+4 |
D+3 |
D+2 |
D+1 |
D0 |
CAR (5+D0) |
|
1 |
ROSN RX Equity |
-1.02% |
0.94% |
2.11% |
4.30% |
-1.72% |
5.12% |
9.72% |
|
2 |
BANE RX Equity |
-3.17% |
2.10% |
2.67% |
0.59% |
-5.97% |
-0.40% |
-4.17% |
|
3 |
BANE RX Equity |
0.29% |
0.20% |
0.36% |
0.36% |
0.34% |
0.29% |
1.83% |
|
4 |
GAZP RX Equity |
0.15% |
0.44% |
0.69% |
-0.07% |
-4.28% |
-0.96% |
-4.03% |
|
5 |
BANE RX Equity |
-1.47% |
-0.26% |
4.25% |
-0.27% |
0.73% |
-1.63% |
1.34% |
|
6 |
UPRO RX Equity |
-0.60% |
-0.85% |
-0.97% |
-1.66% |
-2.12% |
0.27% |
-5.91% |
|
7 |
BANE RX Equity |
0.78% |
-1.60% |
2.87% |
-1.44% |
0.67% |
3.11% |
4.39% |
|
8 |
SIBN RX Equity |
-0.55% |
-0.01% |
0.75% |
-1.12% |
0.95% |
0.06% |
0.08% |
|
9 |
NKNC RX Equity |
-0.88% |
-2.06% |
0.31% |
4.92% |
-1.59% |
-0.90% |
-0.18% |
|
10 |
TATN RX Equity |
0.38% |
-2.00% |
-0.89% |
7.93% |
-1.65% |
-1.47% |
2.31% |
|
11 |
NKNC RX Equity |
-0.28% |
-1.62% |
2.72% |
-0.45% |
-2.62% |
-2.78% |
-5.03% |
|
12 |
NVTK RX Equity |
0.08% |
0.18% |
-0.81% |
0.60% |
2.11% |
-1.21% |
0.95% |
|
13 |
BANE RX Equity |
-1.44% |
-0.92% |
-2.92% |
-1.36% |
-2.14% |
-2.35% |
-11.14% |
|
14 |
IRAO RX Equity |
-2.21% |
-1.11% |
4.72% |
-0.64% |
0.51% |
-1.17% |
0.10% |
|
15 |
MFGS RX Equity |
0.48% |
-0.42% |
2.56% |
0.03% |
-1.54% |
0.94% |
2.05% |
|
16 |
KZOS RM Equity |
0.49% |
1.11% |
-4.00% |
-4.08% |
7.85% |
2.36% |
3.73% |
|
17 |
HALS RX Equity |
-0.17% |
1.20% |
-0.50% |
0.85% |
0.85% |
0.85% |
3.09% |
|
18 |
NMTP RX Equity |
-3.49% |
-6.22% |
-2.64% |
-0.36% |
-3.28% |
-3.74% |
-19.72% |
|
19 |
SNGS RX Equity |
-3.98% |
-2.13% |
-4.09% |
-2.42% |
-3.44% |
-0.67% |
-16.73% |
|
20 |
GAZP RX Equity |
0.10% |
1.18% |
-2.63% |
0.77% |
-1.12% |
1.04% |
-0.67% |
|
21 |
VTBR RX Equity |
-0.48% |
-1.00% |
0.06% |
3.11% |
3.38% |
3.41% |
8.47% |
|
22 |
AFKS RX Equity |
-5.17% |
0.11% |
5.39% |
7.60% |
3.02% |
3.84% |
14.81% |
|
23 |
AFKS RX Equity |
-1.26% |
2.96% |
2.95% |
1.88% |
-3.01% |
-2.41% |
1.11% |
|
24 |
BANE RX Equity |
3.53% |
1.74% |
2.26% |
0.26% |
1.82% |
1.03% |
10.63% |
|
25 |
KAZT RM Equity |
-0.24% |
-0.24% |
0.82% |
-2.20% |
2.98% |
-5.32% |
-4.19% |
|
26 |
RSTI RX Equity |
-0.11% |
-1.13% |
-0.20% |
1.40% |
-0.68% |
1.92% |
1.21% |
|
27 |
OPIN RX Equity |
2.02% |
2.98% |
3.22% |
2.98% |
2.99% |
3.24% |
17.43% |
|
28 |
AFKS RX Equity |
1.36% |
0.48% |
6.95% |
-0.76% |
-3.64% |
-2.74% |
1.65% |
|
29 |
UTAR RM Equity |
-1.72% |
2.75% |
-0.41% |
0.04% |
0.04% |
1.38% |
2.09% |
|
30 |
AFKS RX Equity |
2.17% |
0.86% |
-0.63% |
4.29% |
5.36% |
3.82% |
15.87% |
|
31 |
AFKS RX Equity |
1.90% |
0.37% |
-3.83% |
-1.42% |
-6.88% |
-2.06% |
-11.91% |
|
32 |
JNOS RM Equity |
3.37% |
0.59% |
-2.11% |
3.37% |
0.59% |
0.59% |
6.38% |
|
33 |
LKOH RX Equity |
-1.11% |
-1.85% |
1.47% |
0.80% |
0.83% |
-1.24% |
-1.11% |
|
34 |
SBER RX Equity |
3.39% |
-0.54% |
-3.45% |
-1.40% |
0.71% |
-1.49% |
-2.77% |
|
35 |
AFKS RX Equity |
2.45% |
-3.02% |
1.81% |
4.90% |
-0.80% |
-0.16% |
5.17% |
|
36 |
ROSN RX Equity |
2.03% |
0.73% |
-1.45% |
-0.73% |
1.44% |
-1.33% |
0.69% |
|
37 |
NNSBP RM Equity |
-1.39% |
-1.30% |
-1.30% |
-1.49% |
-0.91% |
-1.59% |
-7.98% |
|
38 |
AFLT RX Equity |
0.79% |
-0.22% |
-4.82% |
-5.69% |
0.93% |
-1.83% |
-10.84% |
|
39 |
RTKM RX Equity |
1.16% |
2.78% |
-2.72% |
-1.52% |
-0.23% |
-1.87% |
-2.40% |
|
40 |
NAUK RM Equity |
-0.59% |
-0.59% |
-0.59% |
-15.36% |
-0.59% |
-0.59% |
-18.31% |
|
41 |
GTLC RM Equity |
-2.39% |
22.97% |
-3.05% |
-2.18% |
0.86% |
1.80% |
18.00% |
|
42 |
TUZA RM Equity |
0.38% |
0.38% |
0.38% |
0.38% |
0.38% |
0.38% |
2.26% |
|
43 |
NKSH RM Equity |
-5.36% |
-1.86% |
-1.86% |
-1.86% |
-1.86% |
-1.86% |
-14.65% |
|
44 |
RLMN RM Equity |
1.30% |
1.30% |
-0.55% |
1.30% |
2.24% |
2.25% |
7.85% |
|
45 |
PLSM RM Equity |
21.01% |
-0.78% |
6.91% |
-19.53% |
19.97% |
38.69% |
66.28% |
|
46 |
TATN RX Equity |
-0.87% |
-2.27% |
-1.90% |
-2.81% |
-3.11% |
0.57% |
-10.38% |
|
47 |
KZOS RM Equity |
0.92% |
-4.20% |
-4.28% |
7.66% |
2.17% |
-1.85% |
0.43% |
|
48 |
GAZC RM Equity |
-1.66% |
-1.66% |
-1.66% |
-1.66% |
-1.66% |
-1.66% |
-9.99% |
|
49 |
TRNFP RX Equity |
-1.92% |
0.00% |
-0.24% |
0.91% |
0.03% |
0.91% |
-0.31% |
|
50 |
GAZC RM Equity |
0.75% |
0.75% |
0.75% |
0.75% |
0.75% |
0.75% |
4.51% |
|
51 |
TATN RX Equity |
1.60% |
1.15% |
-0.06% |
0.48% |
0.99% |
1.99% |
6.15% |
|
Average |
0.18% |
0.20% |
0.05% |
-0.20% |
0.21% |
0.69% |
1.14% |
|
|
Дисперсия |
0.13% |
0.14% |
0.08% |
0.20% |
0.15% |
0.34% |
1.59% |
|
|
Статистика c02 |
1.59% |
1.71% |
0.98% |
2.55% |
1.86% |
4.24% |
19.92% |
|
|
P-значение*10^n |
0.0040 |
0.0247 |
0.0025 |
0.0054 |
0.2150 |
0.0186 |
0.0105 |
Приложение 6
Расчет кумулятивной избыточной доходности при расчете нормальной доходности с помощью CAPM для компаний-целей
|
№ |
Company |
D+5 |
D+4 |
D+3 |
D+2 |
D+1 |
D0 |
CAR (5+D0) |
|
1 |
ROSN RX Equity |
-0.72% |
1.45% |
5.28% |
5.60% |
2.07% |
7.26% |
20.94% |
|
2 |
BANE RX Equity |
-1.77% |
2.05% |
-0.45% |
0.49% |
-7.30% |
-1.95% |
-8.92% |
|
3 |
BANE RX Equity |
0.21% |
0.88% |
0.25% |
1.69% |
-0.30% |
1.56% |
4.30% |
|
4 |
GAZP RX Equity |
-2.87% |
1.45% |
-0.44% |
-1.77% |
-6.17% |
-1.15% |
-10.96% |
|
5 |
BANE RX Equity |
0.73% |
1.01% |
5.68% |
0.31% |
0.94% |
-0.90% |
7.78% |
|
6 |
UPRO RX Equity |
-4.13% |
-12.13% |
-7.83% |
-2.51% |
-4.83% |
1.06% |
-30.37% |
|
7 |
BANE RX Equity |
0.03% |
-1.67% |
0.52% |
-3.79% |
-0.35% |
1.27% |
-3.99% |
|
8 |
SIBN RX Equity |
1.07% |
0.73% |
-3.33% |
-0.08% |
1.96% |
2.56% |
2.91% |
|
9 |
NKNC RX Equity |
3.77% |
-2.24% |
1.54% |
6.11% |
-1.63% |
-0.43% |
7.12% |
|
10 |
TATN RX Equity |
-6.86% |
4.55% |
2.51% |
9.44% |
-12.72% |
-2.76% |
-5.84% |
|
11 |
NKNC RX Equity |
-0.35% |
-2.54% |
3.85% |
-0.51% |
0.95% |
2.32% |
3.71% |
|
12 |
NVTK RX Equity |
-5.24% |
-2.88% |
-0.29% |
2.79% |
-5.90% |
-2.43% |
-13.95% |
|
13 |
BANE RX Equity |
-0.89% |
1.95% |
3.22% |
2.39% |
-1.99% |
1.20% |
5.88% |
|
14 |
IRAO RX Equity |
-1.74% |
6.70% |
7.71% |
0.17% |
0.81% |
-0.23% |
13.41% |
|
15 |
MFGS RX Equity |
-0.52% |
-0.74% |
2.66% |
-0.68% |
-2.02% |
0.64% |
-0.65% |
|
16 |
KZOS RM Equity |
0.37% |
-1.01% |
-4.01% |
-3.03% |
6.18% |
2.34% |
0.84% |
|
17 |
HALS RX Equity |
-1.46% |
0.34% |
-0.88% |
0.14% |
0.17% |
0.38% |
-1.30% |
|
18 |
NMTP RX Equity |
-0.13% |
-2.38% |
1.35% |
3.43% |
3.19% |
3.15% |
8.62% |
|
19 |
SNGS RX Equity |
-7.55% |
-7.75% |
-12.29% |
-1.40% |
0.18% |
-6.28% |
-35.10% |
|
20 |
GAZP RX Equity |
-3.47% |
-4.45% |
-10.84% |
1.78% |
2.50% |
-4.57% |
-19.04% |
|
21 |
VTBR RX Equity |
-4.06% |
-6.63% |
-8.15% |
4.13% |
7.00% |
-2.20% |
-9.90% |
|
22 |
AFKS RX Equity |
-5.90% |
1.95% |
3.54% |
6.13% |
2.28% |
3.90% |
11.91% |
|
23 |
AFKS RX Equity |
3.18% |
3.80% |
1.56% |
-0.62% |
-7.32% |
-4.74% |
-4.14% |
|
24 |
BANE RX Equity |
1.26% |
-0.89% |
1.95% |
3.22% |
2.39% |
-1.99% |
5.94% |
|
25 |
KAZT RM Equity |
-1.92% |
-1.14% |
1.25% |
-3.48% |
2.93% |
-5.77% |
-8.12% |
|
26 |
RSTI RX Equity |
0.36% |
6.68% |
2.79% |
2.21% |
-0.38% |
2.86% |
14.52% |
|
27 |
OPIN RX Equity |
0.24% |
1.46% |
0.63% |
0.79% |
1.18% |
0.40% |
4.70% |
|
28 |
AFKS RX Equity |
4.74% |
-0.28% |
3.53% |
0.89% |
-5.30% |
-2.35% |
1.23% |
|
29 |
UTAR RM Equity |
-1.84% |
0.62% |
-0.41% |
1.10% |
-1.62% |
1.36% |
-0.80% |
|
30 |
AFKS RX Equity |
-0.22% |
-4.25% |
-3.13% |
3.64% |
0.81% |
-1.12% |
-4.26% |
|
31 |
AFKS RX Equity |
0.81% |
-1.12% |
-6.22% |
-1.63% |
-3.59% |
2.83% |
-8.93% |
|
32 |
JNOS RM Equity |
3.01% |
0.47% |
-3.54% |
4.36% |
0.26% |
-0.52% |
4.04% |
|
33 |
LKOH RX Equity |
-0.92% |
-5.28% |
2.79% |
1.69% |
1.64% |
2.81% |
2.73% |
|
34 |
SBER RX Equity |
3.32% |
-5.98% |
-9.07% |
-2.12% |
-3.93% |
-2.53% |
-20.32% |
|
35 |
AFKS RX Equity |
-1.63% |
-3.59% |
2.83% |
-3.95% |
-3.05% |
-10.95% |
-20.34% |
|
36 |
ROSN RX Equity |
-0.28% |
-1.37% |
-2.67% |
-0.99% |
-1.53% |
-2.89% |
-9.72% |
|
37 |
NNSBP RM Equity |
0.50% |
1.44% |
-4.10% |
-0.02% |
-0.66% |
1.89% |
-0.96% |
|
38 |
AFLT RX Equity |
0.72% |
-5.66% |
-10.44% |
-6.41% |
-3.71% |
-2.88% |
-28.39% |
|
39 |
RTKM RX Equity |
-1.15% |
0.68% |
-3.94% |
-1.78% |
-3.20% |
-3.43% |
-12.81% |
|
40 |
NAUK RM Equity |
0.25% |
2.92% |
1.31% |
-18.91% |
1.39% |
1.20% |
-11.83% |
|
41 |
GTLC RM Equity |
-5.30% |
22.76% |
-3.22% |
-3.92% |
0.22% |
1.50% |
12.05% |
|
42 |
TUZA RM Equity |
-0.19% |
-3.66% |
-2.94% |
-1.28% |
1.09% |
-0.52% |
-7.49% |
|
43 |
NKSH RM Equity |
-9.18% |
0.92% |
1.05% |
-3.09% |
0.66% |
3.10% |
-6.53% |
|
44 |
RLMN RM Equity |
0.11% |
-2.25% |
0.25% |
-1.11% |
2.47% |
0.22% |
-0.30% |
|
45 |
PLSM RM Equity |
21.81% |
-1.09% |
9.21% |
-20.02% |
20.17% |
40.67% |
70.75% |
|
46 |
TATN RX Equity |
-0.23% |
0.03% |
-0.31% |
-2.80% |
-3.83% |
1.55% |
-5.59% |
|
47 |
KZOS RM Equity |
-1.01% |
-4.01% |
-3.03% |
6.18% |
2.34% |
-0.19% |
0.28% |
|
48 |
GAZC RM Equity |
-2.20% |
-3.28% |
-0.68% |
2.91% |
2.91% |
1.32% |
0.97% |
|
49 |
TRNFP RX Equity |
-3.97% |
-1.72% |
-1.02% |
-0.93% |
0.71% |
0.21% |
-6.72% |
|
50 |
TATN RX Equity |
-0.35% |
-2.60% |
-0.49% |
-0.05% |
1.70% |
1.09% |
-0.69% |
|
51 |
Average |
-0.63% |
-0.55% |
-0.73% |
-0.31% |
-0.20% |
0.56% |
-1.87% |
|
Дисперсия |
0.18% |
0.23% |
0.21% |
0.26% |
0.22% |
0.43% |
2.40% |
|
|
Статистика c02 |
2.31% |
2.93% |
2.62% |
3.19% |
2.69% |
5.35% |
29.96% |
|
|
P-значение |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
Приложение 7
Данные для регрессионной модели с параметрами «вид сделки» и «объем сделки»
|
№ |
Ticker |
Date |
Volume LN |
If Trans |
CAR 120 |
CAR Index |
CAR CAPM |
|
1 |
ROSN RX Equity |
07.12.2016 |
16.14 |
1 |
11.46% |
9.72% |
20.94% |
|
2 |
BANE RX Equity |
12.10.2016 |
15.37 |
0 |
-7.09% |
-4.17% |
-8.92% |
|
3 |
BANE RX Equity |
15.11.2016 |
15.37 |
0 |
-0.69% |
1.83% |
4.30% |
|
4 |
GAZP RX Equity |
15.07.2016 |
14.38 |
0 |
-5.13% |
-4.03% |
-10.96% |
|
5 |
BANE RX Equity |
19.05.2014 |
15.37 |
0 |
2.06% |
1.34% |
7.78% |
|
6 |
UPRO RX Equity |
04.12.2014 |
14.26 |
1 |
-3.37% |
-5.91% |
-30.37% |
|
7 |
BANE RX Equity |
10.09.2014 |
15.37 |
0 |
0.45% |
4.39% |
-3.99% |
|
8 |
SIBN RX Equity |
23.11.2015 |
13.27 |
0 |
0.07% |
0.08% |
2.91% |
|
9 |
NKNC RX Equity |
28.12.2016 |
13.06 |
0 |
-0.61% |
-0.18% |
7.12% |
|
10 |
TATN RX Equity |
03.02.2016 |
12.93 |
0 |
-2.15% |
2.31% |
-5.84% |
|
11 |
NKNC RX Equity |
21.03.2016 |
13.06 |
0 |
-1.17% |
-5.03% |
3.71% |
|
12 |
NVTK RX Equity |
21.07.2014 |
12.68 |
1 |
-6.40% |
0.95% |
-13.95% |
|
13 |
BANE RX Equity |
28.03.2014 |
15.37 |
0 |
-0.09% |
-11.14% |
5.88% |
|
14 |
IRAO RX Equity |
03.01.2018 |
12.35 |
0 |
3.16% |
0.10% |
13.41% |
|
15 |
MFGS RX Equity |
22.01.2018 |
12.00 |
0 |
-0.31% |
2.05% |
-0.65% |
|
16 |
KZOS RM Equity |
28.12.2015 |
11.78 |
0 |
-0.58% |
3.73% |
0.84% |
|
17 |
HALS RX Equity |
13.05.2016 |
11.54 |
0 |
-1.14% |
3.09% |
-1.30% |
|
18 |
NMTP RX Equity |
12.05.2014 |
11.47 |
0 |
2.01% |
-19.72% |
8.62% |
|
19 |
SNGS RX Equity |
11.12.2014 |
10.89 |
0 |
-19.40% |
-16.73% |
-35.10% |
|
20 |
GAZP RX Equity |
11.12.2014 |
14.38 |
0 |
-2.84% |
-0.67% |
-19.04% |
|
21 |
VTBR RX Equity |
11.12.2014 |
14.38 |
0 |
5.38% |
8.47% |
-9.90% |
|
22 |
AFKS RX Equity |
02.10.2014 |
10.52 |
0 |
20.52% |
14.81% |
11.91% |
|
23 |
AFKS RX Equity |
14.04.2014 |
10.52 |
0 |
-1.91% |
1.11% |
-4.14% |
|
24 |
BANE RX Equity |
31.03.2014 |
15.37 |
0 |
2.65% |
10.63% |
5.94% |
|
25 |
KAZT RM Equity |
29.12.2014 |
9.48 |
0 |
-8.12% |
-4.19% |
-8.12% |
|
26 |
RSTI RX Equity |
03.01.2018 |
9.44 |
0 |
3.69% |
1.21% |
14.52% |
|
27 |
OPIN RX Equity |
14.03.2017 |
9.17 |
0 |
-1.15% |
17.43% |
4.70% |
|
28 |
AFKS RX Equity |
05.01.2015 |
10.52 |
0 |
8.33% |
1.65% |
1.23% |
|
29 |
UTAR RM Equity |
04.01.2016 |
9.08 |
0 |
-1.50% |
2.09% |
-0.80% |
|
30 |
AFKS RX Equity |
30.07.2014 |
10.52 |
0 |
5.00% |
15.87% |
-4.26% |
|
31 |
AFKS RX Equity |
24.07.2014 |
10.52 |
0 |
-2.75% |
-11.91% |
-8.93% |
|
32 |
JNOS RM Equity |
23.06.2014 |
8.58 |
0 |
2.08% |
6.38% |
4.04% |
|
33 |
LKOH RX Equity |
09.06.2014 |
8.36 |
0 |
4.56% |
-1.11% |
2.73% |
|
34 |
SBER RX Equity |
04.08.2014 |
8.23 |
1 |
-2.72% |
-2.77% |
-20.32% |
|
35 |
AFKS RX Equity |
21.07.2014 |
10.52 |
0 |
-8.74% |
5.17% |
-20.34% |
|
36 |
ROSN RX Equity |
29.09.2014 |
16.14 |
1 |
-0.13% |
0.69% |
-9.72% |
|
37 |
NNSBP RM Equity |
01.02.2016 |
7.99 |
0 |
-6.52% |
-7.98% |
-0.96% |
|
38 |
AFLT RX Equity |
04.08.2014 |
7.87 |
1 |
-10.02% |
-10.84% |
-28.39% |
|
39 |
RTKM RX Equity |
29.09.2014 |
7.68 |
1 |
-4.28% |
-2.40% |
-12.81% |
|
40 |
NAUK RM Equity |
26.05.2014 |
7.43 |
0 |
-24.14% |
-18.31% |
-11.83% |
|
41 |
GTLC RM Equity |
29.06.2016 |
7.40 |
0 |
-4.71% |
18.00% |
12.05% |
|
42 |
TUZA RM Equity |
19.02.2015 |
7.12 |
0 |
-5.11% |
2.26% |
-7.49% |
|
43 |
NKSH RM Equity |
06.01.2016 |
7.09 |
0 |
-3.46% |
-14.65% |
-6.53% |
|
44 |
RLMN RM Equity |
29.03.2017 |
6.39 |
0 |
0.68% |
7.85% |
-0.30% |
|
45 |
PLSM RM Equity |
26.10.2015 |
2.00 |
0 |
70.86% |
66.28% |
70.75% |
|
46 |
TATN RX Equity |
13.05.2015 |
12.93 |
1 |
-4.05% |
-10.38% |
-5.59% |
|
47 |
KZOS RM Equity |
28.12.2015 |
11.78 |
0 |
-4.22% |
0.43% |
0.28% |
|
48 |
GAZC RM Equity |
01.07.2016 |
0.00 |
0 |
-5.08% |
-9.99% |
0.97% |
|
49 |
TRNFP RX Equity |
22.02.2017 |
0.00 |
0 |
-3.94% |
-0.31% |
-6.72% |
|
50 |
GAZC RM Equity |
02.05.2017 |
0.00 |
0 |
-5.00% |
4.51% |
-0.69% |
|
51 |
TATN RX Equity |
12.03.2018 |
12.93 |
0 |
0.67% |
6.15% |
-
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Партин, И.М. Зависимость оценки стоимости компании в сделке M&A от типа компании-покупателя // Корпоративные финансы. – 2012. – №2. – С. 24-33. ↑
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Хусаинов З. И. Оценка эффективности сделок слияний и поглощений: интегрированная методика // Корпоративные финансы. – 2008. – №1. – С. 12-33 ↑
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M&A market in Russia in 2015 |KPMG| RU // URL:http://www.kpmg. com/ru/ru/ issuesandinsights/ articlespublications/ pages/ma-survey-report-2015.aspx ↑
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M&A market in Russia in 2015 |KPMG| RU // URL:http://www.kpmg. com/ru/ru/ issuesandinsights/ articlespublications/ pages/ma-survey-report-2015.aspx ↑
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Мозгачева Д.А., Осина Е.Ю., Цурюпа Е.О. Слияния и поглощения как элемент повышения конкурентоспособности нефтегазовой отрасли// Экономические науки. — 2016. — № 53-2 ↑
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Бюллетень «Рынок слияний и поглощений» информационного агентства AK&M // URL: http://www.akm.ru/rus/ma/stat/2016/09.htm ↑
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Бюллетень «Рынок слияний и поглощений» информационного агентства AK&M // URL: http:// http://mergers.akm.ru/stats/12 ↑
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Бюллетень «Рынок слияний и поглощений» информационного агентства AK&M // URL: http:// http://mergers.akm.ru/stats/12 ↑
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Иванов А.Е. Синергетический оптимизм: за что и сколько переплачивают покупатели в крупнейших интеграционных сделках с участием российских компаний// Экономический анализ: теория и практика. — 2014. — № 24 (375). — С. 31–40. ↑
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Там же ↑
-
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