Value creation in going private transactions

The study empirically analyses the stock price reaction and the determinants of shareholder gains in going private transactions in the Malaysian stock market. A cumulative average excess return of 21.99% is documented for 61-day event period using market adjusted return model. The excess returns earned by target shareholders are attributed to free cash flow, firm size, dividend payout ratio, debt, method of payment and return on equity. The model explains 66.96% of cross-sectional variation in stock returns.