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N.V. Abdullayeva: Value creation through mergers and acquisitions in energy sector

Slope of regression:

Estimated mean of security‘s stock return:

Estimated mean of market benchmark return:

Now we can calculate the abnormal returns of every security over the period

(Ʈ) caused by announcement of M&A deal of every company by using the following

formulas:

Conditional variance of abnormal returns:

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