Empirical Study Assignments: This INDIVIDUAL assignment allows you to conduct yo

Empirical Study Assignments:
This INDIVIDUAL assignment allows you to conduct your event study research and the Credit Rating Agency (CRAs).
Required
Choice A
If you choose to do this assessment you are required to design and carry out an event study that analyses the impact that the announcement of mergers and acquisitions (M&A) has on the share price of ACQUIRER AND TARGET firms. You will find the relevant M&A data using Thomson One Banker, as instructed during the lecture.
You aim to analyse the impact of an M&A announcement on the acquirer and target firms separately, thus allowing you to compare the impact of M&A announcements on acquiring vs target firms. The announcement dates should be restricted to 1st January 2019 to 31st May 2021.
You will need to read a synopsis of previous literature examining share price reaction around M&A to fully understand how to set up your hypotheses and methods of enquiry and should discuss the literature briefly in your report.
You need to find announcement data for at least 30 acquiring firms, and for at least 30 target firms (30+30 = 60 minimum total observations). Please follow the methodology discussed in the online lectures.
Choice B
Select ten countries of your choice, which must have received split ratings from S&P and Moody’s during the last ten years (not necessarily split ratings for the whole period). Collect sovereign rating data (suggested sources are mentioned on Blackboard but you are encouraged to conduct your search for data). Your report must include a summary of the rating data and split ratings in your sample.
Then collect annual data on macroeconomic variables (and political variables if you wish) for at least a 10 year period (which must end in 2019 or 2020, i.e. the most recent available data). You are expected to make your selection of variables, based on the academic literature mentioned below and/or on the CRAs’ publicly available disclosures about their methodologies.
Using this data, design and estimate either (i) a model to identify the determinants of sovereign ratings; or (ii) a model to identify the determinants of sovereign split ratings. There is also documentation and data available on the websites of Standard & Poor’s and Moody’s which will assist you in this task. Here are some examples of possible variables to use in the analysis: external debt, GDP per capita, government budget deficit, inflation.
Your approach can draw from the following literature (and the references cited in these papers):
De Moor et al (2018), Teixeira et al (2018): These two are provided on Blackboard. Afonso, A., Gomes, P., Rother, P. (2011). Short- and long-run determinants of sovereign debt credit ratings. International Journal of Finance and Economics 16, 1-15. Bissoondoyal-Bheenick, E. (2005). An analysis of the determinants of sovereign ratings. Global Finance Journal 15, 251-280.
Cantor, R., Packer, F. (1996). Determinants and impacts of sovereign credit ratings. Economic Policy Review 2, 37-53.
Mellios, C., Paget-Blanc, E. (2006). Which factors determine sovereign credit ratings? European Journal of Finance 12, 361-377.
Vu, H., Alsakka, R., ap Gwilym, O. (2017). What drives differences of opinion in sovereign ratings? The roles of information disclosure and political risk. International Journal of Finance and Economics, 22 (3), 216-233.
For both Choices A and B for the Empirical Assignment:
The format of your report should be similar to a short research article (3,000 words).
It should therefore have the following sections: introduction, literature review (about 800 words), data, methodology, empirical results, conclusion and reference list. The use of tables and graphics is strongly encouraged. There are some excellent relevant graphics available in the media (subject to you providing appropriate citations of your sources).
However, many other software packages are very suitable to conduct your quantitative analysis for this task, including Excel and your excel or stata files must be submitted via electronic submission through the blackboard only. Ensure that you include a cover page (your own design)
You must ensure careful citation of all journal articles and electronic sources of information, and include a list of references. Please make sure that your sources of information are cited and listed in the Harvard referencing style.
Word limit: 3,000 words +/- 10%. This limit includes any footnotes and appendices but excludes the contents page and references. The Word Count must be stated on the cover page of your work. Times New Roman 12 point, 1.5 line spacing.
Minimum of 25 journal article published a in renown internal journal
This assignment is worth 35% of your total assessment for this 60 credit module. This is one of two assignments making up the coursework for your summer module.
Note: I want the work in word and also a soft copy of the workings in excel format