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Event Study of 3 Listed Companies

In: Business and Management

Submitted By MrMitz
Words 3303
Pages 14
FIN 922 – Investment Management

In this report we shall discuss three companies which are listed in various exchanges in the U.S and conduct an event study and make a consensus on their responsiveness to an Earnings Surprise. We also need to establish a relationship between the Market Index and the Stock in itself. This relationship can be determined by running a regression and using the Market as the independent variable and the Stock as the dependent variable.
In order to analyze the responsiveness of a stock, we need to understand and imply the concept of the beta.
The beta is a measure of the volatility, or systematic risk, or a portfolio in comparison to the market as a whole. Beta is used in the capital asset pricing model (CAPM), a model that calculates the expected return of an asset based on its beta and expected market returns.
Beta is calculated using regression analysis and you can think of beta as the tendency of a security’s returns to respond to swings in the market. A beta of less than 1 means that the security will be less volatile than the market.
Now, we are going to conduct an event study for 3 companies. 1.) Parker Drilling 2.) Autobytel Inc. 3.) Auxilium Pharmaceuticals, Inc.

1. Parker Drilling Company

Introduction
Parker Drilling is part of the Oil & Gas Equipment & Services industry. The company was founded in 1934 and is headquartered in Houston, Texas.
Parker Drilling specializes in barge drilling, onshore drilling and various tools that are required by drillers. Parker does not venture way into the ocean and drill mines in the confines of the earth’s surface but rather resorts to the shores. Most of the company’s operations are off the coast of Louisiana in the Gulf of Mexico. The second part of their business is selling tools which are required for drilling operations.
Their 4 intermediate barge rigs...

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