Data Analysis

The Karlsruhe data base gives the value of 9999.999999 for missing data points.Google Scholar

It turned out that the series ‘hgm ret’ and the ‘bmo ret’ had 2 and 1 erroneous return, respectively, due to a bug in the Karlsruhe data bank. The errors were notified and corrected.Google Scholar

Independently and identically distributed.Google Scholar

Shapiro-Wilk, skewness, kurtosis, Chi-square, Kolmogorov and Durbin test, among others.Google Scholar

All tables are put at the end into Appendix 6 for readability.Google Scholar

A martingale implies that the expected value of a stock in the period t + n is equal to the price of the stock today. Mathematically it could be expressed as follows:(Math) See also Granger and Morgenstern (1970).Google Scholar

5 breweries series, i.e. ‘psc’, ‘bavl’, ‘bav2’, ‘brc’, ‘pbr’, did not meet the criteria for the event study sample but were used here for comparative purposes.Google Scholar

‘pbr ret’ and ‘bavl ret’ end on June 8, 94 and November 26, 93, respectively.Google Scholar

Based on 250 trading days per year.Google Scholar

Note that the returns are not comparable among each other because they come from different periods in time.Google Scholar

Dickey-Fuller.Google Scholar

Most series have a positive mean; 13 (out of 44, thus 29.5%) have a negative one.Google Scholar

For a=0.01 n must exceed 5, 100.Google Scholar

Further press research would be necessary to determine this statement.Google Scholar

For spacing consideration, Table 6.14 only reports the results at lag 12.Google Scholar

Seven series could be possibly modeled by more than one process.Google Scholar

‘alb ret’, ‘bmo ret’, ‘bud ret’, lef ret’, ‘mei ret’, and ‘olg ret’.Google Scholar

See also discussion on non-synchronous trading in Section 4.4.Google Scholar

Of the 70 M-Dax companies 13 are dominated by private owners (or families): Dürr, Dyckerhoff, FAG, Herlitz, Hornbach Holding, Jungheinrich, Kampa-Haus, Krones, MLP, Porsche, VARTA, Vossloh, Wella. Within the smaller tier companies listed in Germany the percentage of companies dominated by private owners would obviously be larger.Google Scholar

See discussion in Section 2.3 and Table 2.2. Also, Becht and Böhmer (1997) give a good survey on ownership and control of German companies.Google Scholar