Time Series Analysis of Going Private Transactions: Before and after the Sarbanes-Oxley Act

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Using 1,473 going private transactions completed between 1985 and 2007, I assess whether the increase in going private transactions that occurred after the passage of the Sarbanes-Oxley Act of 2002 (SOX) was driven by SOX, or whether this phenomenon continues an ongoing historical trend. To examine this issue, I initially used structural break tests and intervention analysis. From the initial techniques, I find support that the passage of SOX increased going private transactions for these categories. Secondarily, I use Granger causality tests and impulse response functions to examine the link between going private transactions and the public stock market. When ... continued below

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vii, 124 p. : ill.

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Kim, Jaehoon August 2010.

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  • Kim, Jaehoon

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Description

Using 1,473 going private transactions completed between 1985 and 2007, I assess whether the increase in going private transactions that occurred after the passage of the Sarbanes-Oxley Act of 2002 (SOX) was driven by SOX, or whether this phenomenon continues an ongoing historical trend. To examine this issue, I initially used structural break tests and intervention analysis. From the initial techniques, I find support that the passage of SOX increased going private transactions for these categories. Secondarily, I use Granger causality tests and impulse response functions to examine the link between going private transactions and the public stock market. When I categorize going private transactions according to the type of acquirer, transaction size, and target industry, I find bi-directional Granger causality relationships between smaller-sized going private transactions and the S&P 500 Index (or Tobin's Q). I also find several unidirectional Granger causality relationships for some categories of going private transactions, based on the type of acquirer or the target industry, to the S&P 500 Index (or to Tobin's Q). The impulse response of going private transactions (or the public stock market) to a shock in the public stock market (or going private transactions) is not immediate, but is delayed two to three quarters. The link between going private transactions and the public stock market is an ongoing phenomenon, continuing a historical trend for going private transactions. For going private transactions with structural breaks, SOX affects the linkage but not for going private transactions with no structural break.

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vii, 124 p. : ill.

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UNT Theses and Dissertations

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  • August 2010

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  • March 30, 2011, 9:15 p.m.

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  • Jan. 14, 2014, 1:53 p.m.

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Kim, Jaehoon. Time Series Analysis of Going Private Transactions: Before and after the Sarbanes-Oxley Act, dissertation, August 2010; Denton, Texas. (digital.library.unt.edu/ark:/67531/metadc31538/: accessed October 19, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; .