The Value of Majority Control: an explorative study on how shareholders value the (dis)appearance of a shareholder with significant voting power

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The Value of Majority Control: an explorative

study on how shareholders value the

(dis)appearance of a shareholder with significant

voting power

by

S.J.H. (Bas) HONDSHORST

University of Groningen

Faculty of Economics and business

MSc International Business & Management

(specialization International Financial Management)

Uppsala University

Department of Business Studies

MSc Business & Economics

June 2009

+31(0)622889922

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S.J.H.Hondshorst - 2 -

ABSTRACT

This explorative study asses the value of minority control by measuring the abnormal stock returns after notifications of substantial holdings as part of the securities trading act in both The Netherlands and Norway. The use of the event study methodology in this area of research is unique. All of the panels in this study show significant abnormal returns before, on, or after the event date. However many of the significant results do not hold after controlling for marketability and erasing extreme values. So, the results are highly influenced by marketability and individual cases. This leaves several open questions for future research.

Key words: Event study, value of control, minority share,

value of voting rights, notifications of substantial holdings Research theme: Finance

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CONTENT

1. INTRODUCTION ... 5

1.1 Research on the value of control ... 6

2. THEORETICAL BACKGROUND AND LITERATURE REVIEW ... 9

2.1 Agency effects and control ... 9

2.2 Corporate governance, investor protection and private benefits ... 10

2.3 Value of Control Rights ... 12

2.3.1 Marketability ... 12

2.3.2 Degree of Control Effects ... 13

2.3.2.1 Majority Control Rights ... 14

2.3.2.2 Minority Control Rights ... 14

2.4 Theoretical framework ... 15

3. METHODOLOGY ... 17

3.1 Hypothesis ... 17

3.2 Methodology ... 19

3.2.1 Event study ... 19

3.3 Testing the hypotheses ... 22

4. SAMPLE CONSTRUCTION ... 25

4.1 Data selection ... 25

4.2 Time period ... 25

4.3 An event specified ... 26

4.4 Data description ... 27

4.4.1 Estimation window and normality ... 28

5. RESULTS ... 29

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5.2 Notifications where a major shareholder (dis)appeared ... 34

6. DISCUSSION, CONCLUSION & RECOMMENDATIONS ... 40

6.1 Discussion and conclusion ... 40

6.2 Recommendations ... 42 REFERENCES ... 44 Periodicals ... 44 Books ... 46 Websites ... 46 Electronic documents ... 46

APPENDIX A: ESTIMATION WINDOW & NORMALITY ... 47

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1. INTRODUCTION

Votes allocate control. According to Pratt (2001a, p18) control is the power to direct the management and policies of a business enterprise. Hanouna, Sarin & Shapiro (2001) define control of a corporation more specific as the direct power to cause more than 50% of the existing shareholder votes. The owners of the firm are primary holders of the power. In listed companies and some privately held companies control and ownership are separated. The shareholders of these companies delegated the daily control over the firm to the managers.

Among other factors, the way a company is managed heavily depends on the country-specific institutional factors such as culture, standards and laws. In economic literature this is referred to as corporate governance. “… corporate governance can be seen as the power distribution within an organization. It certainly revolves around the structure of relationships, and the reciprocal responsibilities, that exist among the majority and minority shareholders, the board of directors and top management…” (Hamberg 2003, p. 85). In the western world the literature roughly distingue two different corporate governance systems; Anglo-Saxon and Continental European. This should be read in a general sense, each country and even each company has its own corporate governance system. An overview of the main differences is presented in table 1.1.

Anglo‐Saxon Continental European

General Orientation Market Bank

Number of listed companies High Low

Shareholder concentration Low / dispersed High / concentrated

Shareholder identity Financial institutions Families / other companies

Mutual shareholdings rare frequently

(cross shareholdings, pyramid structures)

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Regulations in market-oriented countries require more disclosure of company information. The more information should be disclosed, the smaller the potential for private benefits due to insider information and thus the lower the value of control.

1.1 Research on the value of control

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The second method uses the multiple class shares with differential voting rights (e.g. Ødegaard, 2007; Doidge, 2004; Nenova 2003). This is because with different voting classes and identical cash flow rights it is possible to measure the value of voting rights or the amount of private benefits a shareholder can attract. A difficulty with this approach is that it is calculated from prices set by minority investors and not from investors who are in control (Doidge, 2004).

This study will consist of an event study on the differences in price per share paid for public traded company before and after investors have observed the fact that a shareholder with significant voting power has appeared or disappeared. The event study method is a new approach in the research to the value of control, thus the aim of this thesis is two-sided. First the purpose of this paper is to test how other minority shareholders respond to the appearance of a minority shareholder with a significant stake in the company, but who still owns a minority of the votes. Second, this thesis explores the use of an event study methodology in this area of research. This will be done for both Norwegian and Dutch companies listed on the Oslo Børs and Euronext Amsterdam respectively, during the period November 2006 to January 2009. The events took place under the Dutch law ‘Wet melding zeggenschap en kapitaalbelang in effectenuitgevende instellingen’ and the Norwegian law ‘Verdipapirforskriften’. Specifically, the paper addresses the following question: What is the value of majority control in listed companies?

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only a minority of the dividends rights. In contrast to Sweden, Denmark and Finland, ownership in Norway is more dispersed and this suggests a more Anglo-Saxon ownership situation (Hamberg, 2004, p.17). According to Van Ees, Postma & Sterken (2003) the Dutch corporate governance combines characteristics of the Anglo-Saxon system and the Continental-European system. So both countries have an continental European corporate governance system with an important Anglo-Saxon touch. Furthermore, by analyzing Norwegian and Dutch notification of major holding notifications, this study uses the comprehensive databases with the most complete and detailed sources of data in North-West Europe.

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2. THEORETICAL BACKGROUND AND LITERATURE

REVIEW

This study will explore the value of minority control but so far most of the research concerning the value of control was focused on the value of majority control. Therefore most of the literature and theories discussed in this chapter are related to the value of majority control.

2.1 Agency effects and control

In economic theory, it is proposed that the company’s sole priority is to maximize shareholder wealth. However, management might not always behave in the best interest of shareholders. This problem is identified by the principal-agent theory. In this theory the difference between the interests of shareholders and managers are referred to as agency costs. Agency costs are equal to the difference between the value of the company if completely managed in the interests of shareholders and its current value. However, the value of a company completely managed in the interest of the shareholders (and thus the agency costs) are not observable or measurable (Hamberg; 2004, p. 81). As an alternative, agency costs can also be viewed in terms of monitoring and bonding costs. Monitoring management activities takes place in order to make sure managers act in the interest of the shareholders. On the other hand, in order to let managers automatically act in the interest of the shareholder it is more and more common to reward management with shares or related compensation packages. These activities cause bonding costs.

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shareholders responded on the increased agency conflict by a lower firm value indicated by a lower price minority shareholders are willing to pay for a share. Cronqvist & Nilsson (2003) argue that the negative relationship most likely can be explained from suboptimal investment decisions, whereas Roosenboom & Schramade (2005) argue that the prestige and status of the controlling manager has a harmful effect.

In contrast to the negative agency costs associated with the appearance of a controlling shareholder, Edwards & Weichenrieder (2004) found that the existence of a large shareholder benefits the minority shareholders. According to Edwards & Weichenrieder, the gains for minority shareholders, like greater monitoring of management and as a result greater cash-flow rights, are at least as large as the harmful effect of lower benefits of control due to greater control rights of the majority shareholder. According to Hauser & Lauterbach (2004), the existence of a large institutional shareholder decreases the compensation to majority shareholders of a firm. They also find that the price of a vote strongly depends on the position and the perspectives of the majority shareholders.

2.2 Corporate governance, investor protection and private benefits

The value of corporate control is negatively related to the strength of a corporate governance system (e.g. Ødegaard, 2007). Partly, this can be explained by the release of information. Since Anglo-Saxon shareholders are less close to the operations, regulations in market-oriented countries require more disclosure of company information. “Because both majority and minority shareholders in this system have to rely on public information the problems with insider information is much smaller than for the bank-oriented governance system” (Hamberg, 2003, p. 89). Insider information causes the potential for private benefits.

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associated with lower levels of private benefits of control. In accordance, Nenova (2003) found that the legal environment, (i.e. investor protection and takeover regulations), and other company specific corporate governance characters explained 68% of the cross-country differences in the value of control-block votes. Thus, according to the literature the value of control is determined by the amount of private benefits a shareholder can attract by acquiring the control over the companies resources.

Due to the dispersed ownership in companies, there might arise contestability among shareholders to affect managers to act in the shareholder’s best interest. In firms with a concentrated ownership, the controlling shareholders might have incentives to overrule a larger number of small minority shareholders (Jara-Bertin, López-Iturriaga and López-de-Foronda; 2008). Multiple share classes, pyramids and cross shareholdings are employed in continental Europe to create a distinction between voting rights and cash flow rights (Grant & Kirchmaier, 2005). By means of these structures, owners can have control of companies, by holding the majority of voting rights, while owning a disproportionate part of the cash flow rights. This can also be achieved in Anglo-Saxon companies, but is much rarer there. According to Goergen & Renneboog (2003), the relative weakness of shareholder rights in Germany compared to the UK is the main reason why there are more larger voting blocks in Germany. Therefore control is more valuable to shareholders of German firms because controlling shareholders are able to take more advantage of higher levels of private benefits. As a result it can be stated that countries with stronger shareholder protection rights have firms with lower ownership concentrations (Goergen & Renneboog, 2003; Kim, Kitsabunnarat-Chatjuthamard & Nofsinger, 2007).

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rights. Dyck and Zingales (2004a, 2004b) found that the premium paid for control is related to country specific circumstances. A control premium is higher when the buyer comes from a country that protects investors less. Zingales (1994) found a control premium equal to 60% of the value of the equity in Italy. In his opinion this control premium was so large because at that time the legal system was very ineffective in preventing exploitation of a control position. Doidge (2004) found that non-US firms with differentiated voting rights that cross-list on U.S. exchanges have voting premiums that are 43% lower than non-US firms that do not cross-list. This can be explained by the fact that listing on U.S. stock markets require compliance to US laws. According to Doidge, U.S. laws protects minority investors and it decreases the private benefits of control.

In sum, it can be stated that higher private benefits of control are associated with less developed capital markets and a weaker corporate governance system. As a result, the value of control will be higher in countries with weaker forms of minority shareholder protection.

2.3 Value of Control Rights

The underlying value of a share in companies composed of three elements: asset value, income value and control value. The discussion on any discount or premium for the ‘control value part’ of the shares has to do with several characteristics of the ownership rights. Pratt (2001a) divide these characteristics into two categories; degree of control or lack of control and degree of lack of marketability. This paragraph discusses both characteristics.

2.3.1 Marketability

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blocks of shares and / or for shares with restrictions the price is not set constantly. When the shares are not traded, it is not clear what the underlying value is. Less liquid assets are expected to have lower prices than more liquid assets. “When a stock is not readily marketable (i.e., publicly traded), if it does finally sell, it usually will sell at a significantly discounted price form control value or from an otherwise comparable stock that is publicity traded” (Prat, 2001a, p 10). In accordance, Ødegaard (2007) found that liquid stocks trade at a premium. Huang & Xu (2007) found that Chinese blocks of shares with trading restrictions, thus with lower liquidity and marketability, were traded in the range of a 70-75 percent discount compared to ordinary traded shares. Among other factors, this was mainly due to marketability problems induced by the trading restrictions.

2.3.2 Degree of Control Effects

The degree of control differs from full control ownership to a single share with one, a fraction or even no voting right. Therefore, discounts for lack of control vary in degree depending on how many control is present at one shareholder. As stated by Pratt (2001b, p137) “the differential in value between control shares and minority shares exists because the control owner enjoys many potentially valuable prerogatives that the minority owner does not.” So in essence the value of control is determined by the amount of private benefits a shareholder can attract by acquiring the control over the companies resources.

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2.3.2.1 Majority Control Rights

Controlling shareholders are in a position to influence the way the companies operate. Huang (2005) found that the value of voting rights is negatively related to prior year's market value of equity and return on asset. The reason for this is simple, the weaker the performance, the more beneficial it might be to vote for a change in management or the strategy of the company. Depending on the corporate governance system controlling shareholders are able to obtain private benefits more than minority shareholders. As stated by Zingales (1994, p. 126): “If there were no private benefits, there would be no reasons to hold large blocks of share in any one company.”

Pratt (2001a) discuss issues a control owner may be able to influence that a minority owner cannot. For example, levels of compensation for officers, directors and employees; decide with whom to do business; decisions on dividends; repurchase of outstanding stock or issue of new shares; discussions on capital expenditures and capital structure, etc. However, depending on local laws, some corporate decisions require a certain level of super majority or majority shareholders are also able to take corporate decisions, for example board seats. So the exact percentage ownership required to control corporate elections varies among corporations and is normally laid out in the corporate charter and by the laws.

2.3.2.2 Minority Control Rights

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swing vote potential, interests of 50%, legal or regulatory constraints, and minority shareholder ability to elect directors.

Major corporate decisions require statutory approval of a supermajority of the shares. In case a major shareholder does not have the supermajority, there is a discount for lack of absolute voting power. From the perspective of a minority shareholder, there is a premium for blocking power. This also applies to a situation where a shareholder holds exactly 50% of the votes. “A 50% interest usually can prevent corporate actions but cannot cause them to happen. A 50% interest value usually lies about halfway between a controlling interest value and a pure minority value” (Pratt, 2001a, p. 28).

In case of no controlling shareholder, a minority vote have a potential of a swing vote. For example two large shareholders with both 45% of the shares, the third shareholder of 10% is necessary for a majority of the votes. Zingales (1994) found that a fraction of the variability in the voting premium can be attributed to the different degree of potential competition for control.

In some situations legal or regulatory constraints prevent cuts in minority shareholders rights or give them certain rights. For example, minority shareholders with a certain amount of votes have the ability to elect a director. Or in case of a merger or acquisition, minority shareholders can institute a lawsuit to force the controlling shareholder to pay a fair price.

2.4 Theoretical framework

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S.J.H.Hondshorst - 16 - Corporate Governance system Private benefits of control Value of control

+

Level of control and marketability Premium for decisive

control Discount for lack of

marketability Shareholder right effects Investor protection Supply of information

+

-Angency effects

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3. METHODOLOGY

As stated in the introduction, the purpose of this study is to test how other minority shareholders respond to the appearance or disappearance of a major shareholder with a significant stake in the company while it still owns a minority of the votes. This section will elaborate more on the hypothesis, methodology and data.

3.1 Hypothesis

As already mentioned, this study is explorative. The event study methodology is new in research towards the value of control. Furthermore most literature in this area is focused on control premiums. Therefore the hypothesis are explorative as well and are derived from literature about majority control.

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Hypothesis 1a The notification of an increase in shareholdings will have a significant influence on the share price.

Hypothesis 1b The notification of a decrease in shareholdings will have a significant influence on the share price.

Hypothesis 2a The appearance of a minority stakeholder with a significant stake will have a significant influence on the share price.

Hypothesis 2b The disappearance of a minority stakeholder with an significant stake will have a significant influence on the share price.

The value of control is determined by the amount of private benefits a shareholder can attract by acquiring the control over the companies resources (Dyck and Zingales, 2004b) Countries with stronger shareholder protection rights have firms with lower ownership concentrations. Doidge (2004) found low voting premiums for Norway, and the Dutch corporate governance system is closely related with the Anglo-Saxon governance system. Both facts indicate low private benefits of control. Therefore I hypothise that there will be no significant difference in the reaction of Norwegian shareholders and Dutch shareholders to the notifications of major shareholdings.

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3.2 Methodology

As stated in the introduction, the proposed methodologies in earlier research on the value of control are not useful to measure the value of minority control. To test the hypothesizes, this study is constructed around an event study.

3.2.1 Event study

The event study methodology is used to measure the abnormal returns of stock after the notification of the (dis)appearance of a minority shareholders with significant voting rights. The timeline for this event study is presented in figure 3.1.

L1= Estimation window L2= Event window

T0 T1 T2

t = -91 τ = -1 τ = 0 τ = +20

Figure 3.1 Timeline for this event study

According to MacKinlay (1997) the market model parameters could be estimated over the 120 days prior to the event. Following Armitage (1995) an estimation period of 100 days is sufficient. However, this thesis will use a estimation period of 90 days. Main reason to use the latter is because a larger time period limits the number of exclusions of events due to another event / notification in the estimation window. The longer the estimation period, the lower the amount of valid events.

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According to Armitage (1995) a two day event window (τ = -1 to τ = 1) is sufficient if the event date can be determined with precision which is the case. Moreover using more pre-event days would increase the probability of mistakes. Because in theory, in case all notifications were announced four days after the acquisitions of the shares it is possible to measure an abnormal return at t = -4 due to the actual acquisition of shares. Therefore the event window starts one day before the notification and the period after the event counts twenty post-event days. The post-event days are in line with the paper of MacKinlay and its due to the possibility that the markets are not efficient and it will take longer than one day to react to the notification.

Abnormal returns are ex post returns of a security over the event window less its normal return over the event window. Normal returns are the returns that would be expected if the event did not take place. To calculate the abnormal return for each notification the return of a share and the market return have to be calculated first. This will be done with the following formula:

( It – I t-1 )

Ri,t = _____________ (1)

It-1

Where Ri,t is the return of the share of firm i on time t. It and It-1 are equal to the value of a

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In order to use the market model, the market return should be calculated. The same kind of formula as equation 1 is applicable to the return of the market:

( Mt – M t-1 )

Rm,t = _____________ (2)

Mt-1

Here Rm,t is the return of the market m on time t and Mt and Mt-1 are equal to index value of

the specific market on time t and t-1.

The abnormal returns are calculated using the following formula:

ARi,t = Ri,t – E(Ri,t ) (3)

ARi,t is the abnormal returns for period t and security i, Ri,t are the actual returns, and E(Ri,t )

are the expected normal returns.

The expected normal returns (E(Ri,t )) are calculated by the following model:

E(Ri,t ) = αi + βi (Rm,t)+ ε i,t (4)

Where Rm,t is the return of the market on time t, αi is the intercept and βi the systematic risk.

The zero mean disturbance term (ε i,t ) is equal to zero (MacKinlay, 1997). Consistent with

MacKinlay the intercept (αi ), and the systematic risk βi are calculated by using an OLS

regression over the estimation period (τ =T0+1 to T1). MacKinlay (1997) uses broad based

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From the abnormal returns (ARi,t ) per security for the period in equation 3, it is now possible

to calculate the Cumulative Average Abnormal Return (CAAR) and the sample Average Abnormal Return (AAR) for each day in the event period (τ = T1 to T2).

1 AARτ = ____ ∑ ARiτ (7) X τ2 CAAR (τ1, τ2 )= ∑ ARiτ (8) τ = τ1

3.3 Testing the hypotheses

In order to test the hypotheses the sample is divided into different panels as presented in table 3.1. Each panel is divided in sub-samples of notifications where a major shareholders increased the shareholdings or appeared and notifications where a major shareholder decreased the shareholdings or disappeared.

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Table 3.1 Panel selection

From the literature, the expected AARs could be either negative or positive, therefore a two-side T-test will be performed. For a parametric T-test, normality of the of the AARs in the estimation period is important. To test for a normal distribution in the estimation period a Kolmogorov-Smirnov test will be performed. MacKinlay (2007) defines the T-test for CAAR as follows:

CAAR (t1, t2 )

Ө = ____________________ ~ N (0,1) (9)

SD CAAR (t1, t2 )

Where SD stands for the standard deviation, and N (0,1) stands for a standard normal distribution.

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The formula for the T-test of AAR is a modification of expression 9 and is as follows:

AAR (t)

Ө = ____________________ ~ N (0,1) (10)

SD AAR (t)

For the hypothesis 3 the sample of the first hypotheses will be used. The CARi values

will be divided in two groups; Norway and Netherlands. In order to do this analysis a dummy variable will be developed. The first dummy consist of 0 for Norway and 1 for The Netherlands. A Levene’s test hypothesis of equal variances will be used to determine if there is evidence that the shareholders respond differently in Norway compared to The Netherlands.

According to MacKinlay (2007) the influence of the nontrading effect on the variances and covariances provides a possible bias in the estimation of the parameters in the market model. I regard this as a marketability issue as discussed earlier in the literature section. Less liquid assets are expected to have lower prices than more liquid assets. Therefore results should be controlled for this non-trading issue and a control variable will be developed. This control variable is based on the number of days were the Ri,t, (the return of the share of firm i

on time t) is equal to 0 during the estimation and the event period. As a result the shares with a lack of marketability are indicated with a high marketability value and the shares which are traded constantly have a low marketability value. All panels are controlled for marketability by dividing the sample into two parts; a part with the notifications of all companies and a part with the notifications of companies with a marketability value below or equal to 20. The value arbitrary set on 20. The use of this value is illustrated with an example; the estimation window and event window related to a specific notification counts thirty days were the Ri,t is

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4. SAMPLE CONSTRUCTION

This section elaborates on the data used in the analysis. Furthermore this section consists of a discussion of the information sources, the period under study and which kind of notifications are regarded as an valid event. This section ends with an overview of the events and some descriptive statistics.

4.1 Data selection

The Dutch notifications of major holdings are available via the following URL:

http://www.afm.nl/registers_en/default.ashx?FolderId=1966 and the Norwegian notifications

are available via http://www.newsweb.no/newsweb/search.do under the category ‘disclosure of large shareholdings’. The daily stock prices were obtained from Datastream and are adjusted for stock-splits and dividend payments.

4.2 Time period

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November 2006 and November 2007 of the Norwegian notifications are not useful and therefore it is not necessary to shorten the period of time studied.

4.3 An event specified

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where these fell in an estimation period of another event, the latter was excluded from the dataset as well. Moreover notifications with respect to takeover bids, and financial institutions are excluded.

4.4 Data description

For both Norway and the Netherlands, hundreds of notifications have been made between the beginning of 2007 and the 31th of March 2009. All eliminations as described in the paragraph before led to a dataset of valid notifications as presented in table 4.1 and table 4.2.

Year Increase Increase (1) Decrease Decrease (1) Increase Increase (1) Decrease Decrease (1)

2007 33 26 23 21 49 30 11 8 2008 25 18 14 11 38 25 19 7 2009 7 5 10 8 10 5 6 4 Total 65 49 47 40 97 60 36 19 # Companies 49 35 38 32 74 46 29 16 (1) Cases with a marketability value of > 20 were deleted Panel B. Norway Panel A. Netherlands

Table 4.1 Overview of number of events

Threshold Increase Increase (1) Decrease Decrease (1) Increase Increase (1) Decrease Decrease (1)

5% 49 40 30 28 66 40 27 15 10% 12 8 9 7 14 9 9 4 15% 3 2 2 2 20% 1 1 2 2 6 3 25% 1 2 30% 1 1 1 1 35% 1 40% 2 2 45% 1 1 50% 1 1 1 60% 1 66,7% 2 2 70% Total 65 50 47 40 96 60 36 19 (1) Cases with a marketability value of > 20 were deleted Panel A. Netherlands Panel B. Norway

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The number of events in the tables 4.1 and 4.2 led to the critical T-values as presented in table 4.3, where v stands for the degrees of freedom.

Table 4.3 Critical values for a two-sided T-test (source: www.medcalc.be/manual/t-distribution.php)

4.4.1 Estimation window and normality

The descriptive statistics for the estimation windows per (sub)panel are presented in Appendix A. Normality in the estimation period was tested by a Kolmogorov-Smirnov test. A significant value less than 5% indicates a deviation from normality. Most of the estimation periods in Appendix A have a significance level of .20 which is not the true significance but a lower bound. None of the values is lower than 5%, thus the hypothesis of non-normality was not accepted for all panels.

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5. RESULTS

This section discusses the results of the event studies per panel. It is split into a section concerning the notifications of an increase / decrease in shareholdings and, subsequently the notifications where a significant shareholders appeared or disappeared.

5.1 Notifications where a threshold was reached or crossed

Panel A, B and C include the total sample of all notifications where thresholds were reached or crossed. An interesting timeframe is between τ = -1 to τ = 6. Table 5.1 shows the results of the average abnormal return for this timeframe in the event window. In appendix B the AAR for t = -25 to τ = 20 are given. Panel A gives a positive abnormal return on day τ = -1 for the notifications concerning an increase in shareholdings. For these kind of events, Panel B gives a positive abnormal return on day τ = 0. These significant results can be explained by the demand for shares by the issuer of the notification on the days prior to the notification. The difference between the Dutch and Norwegian sample can be explained by the difference in the requirements by the securities act of the specific country. The Dutch law requires a notification within four trading days. The Norwegian law is not specific in amount of trading days but it uses the word ‘immediately’. So for the Norwegian panel it is possible that the notifications takes place on the same day as the acquisition of the shares. For both samples there are one or more significant reactions within three to six days after the notification. However the reaction is opposite in sign, the Dutch sample gives a negative reaction whereas the Norwegian sample gives a positive reaction.

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by examining boxplots in SPSS for each significant result in the event window τ = -1 to τ = 6. An observation is indentified as outlier when it ranges between the 1.0 and 1.5 quartile ranges from the box and it is indentified as an extreme value when it is greater than 1.5 quartiles away from the box.

Increase (n = 65) Increase (1) (n = 49) Decrease (n = 47) Decrease (1) (n = 40)

Day AAR AAR AAR AAR

‐1 0.00643 ** 0.00494 * 0.00134 0.00085 0 ‐0.00249 ‐0.00386 0.00625 ‐0.00255 1 0.00248 0.00172 0.00000 ‐0.00345 2 0.00219 0.00204 ‐0.00346 ‐0.00435 3 ‐0.00573 ** ‐0.00446 0.00868 ** 0.00695 ** 4 0.00065 ‐0.00011 0.00692 * 0.00054 5 ‐0.00520 * ‐0.00812 *** ‐0.00153 ‐0.00056 6 ‐0.00234 ‐0.00272 ‐0.00009 ‐0.00079 Increase (n = 97) Increase (1) (n = 60) Decrease (n = 36) Decrease (1) (n = 19)

Day AAR AAR AAR AAR

‐1 0.00260 0.01022 *** ‐0.00567 ‐0.01226 0 0.01311 *** 0.01359 *** 0.00625 0.00058 1 ‐0.00200 0.00346 ‐0.02324 *** ‐0.01488 2 0.00176 ‐0.00600 * ‐0.00745 0.00255 3 ‐0.00314 ‐0.00535 0.00905 0.02140 ** 4 0.00176 0.00309 ‐0.00594 ‐0.02721 *** 5 0.00224 ‐0.00172 0.00673 ‐0.00634 6 0.00855 *** 0.00676 ** ‐0.01065 ‐0.00840 Increase (n = 162) Increase (1) (n = 109) Decrease (n = 83) Decrease (1) (n = 59)

Day AAR AAR AAR AAR

‐1 0.00414 * 0.00231 * ‐0.00170 ‐0.00337 0 0.00685 *** ‐0.00161 0.00625 * ‐0.00154 1 ‐0.00020 0.00081 ‐0.01008 *** ‐0.00713 * 2 0.00193 0.00086 ‐0.00519 ‐0.00213 3 ‐0.00418 * ‐0.00205 0.00884 ** 0.01160 *** 4 0.00131 ‐0.00002 0.00134 ‐0.00839 ** 5 ‐0.00075 ‐0.00366 *** 0.00205 ‐0.00242 6 0.00418 * ‐0.00116 ‐0.00467 ‐0.00324 (1) cases with a marketability value of > 20 were deleted Statistical significance of 10%, 5%, 1% denotes *,**,*** Panel C: Netherlands + Norway Panel A: Netherlands Panel B: Norway

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S.J.H.Hondshorst - 31 - Panel A: Netherlands Day in Event window AAR Positive outliers Negative outliers Positive extreme values Negative extreme values N (without extremes) AAR without extremes Sig. Increase τ‐1 0.0064 3 4 3 1 61 0.0029 Increase τ‐1 (1) 0.0049 1 1 2 1 46 0.0029 Increase τ3 ‐0.0057 4 6 2 63 ‐0.0031 Increase τ5 ‐0.0052 2 3 2 1 62 ‐0.0065 ** Increase τ5 (1) ‐0.0081 1 2 1 1 47 ‐0.0080 *** Decrease τ3 0.0087 1 2 1 44 0.0066 * Decrease τ4 0.0069 1 1 2 45 0.0006 Decrease τ3 (1) 0.0070 1 2 38 0.0017 Panel B: Norway Day in Event window AAR Positive outliers Negative outliers Positive extreme values Negative extreme values N (without extremes) AAR without extremes Sig. Increase τ0 0.0131 3 4 5 92 0.0046 Increase τ6 0.0085 4 2 4 93 0.0029 Increase τ‐1 (1) 0.0102 1 1 4 1 55 ‐0.0019 Increase τ0 (1) 0.0136 1 2 3 1 56 0.0049 Increase τ2 (1) ‐0.0060 4 2 58 ‐0.0094 *** Increase τ6 (1) 0.0068 1 1 59 0.0033 Decrease τ1 ‐0.0232 1 1 1 35 ‐0.0128 * Decrease τ3 (1) 0.0214 2 19 0.0214 ** Decrease τ4 (1) ‐0.0272 1 1 1 18 ‐0.0134 (1) cases with a marketability value of > 20 were deleted Statistical significance of 10%, 5%, 1% denotes *,**,***

Table 5.2 AAR from day -1 to day +6 without extremes

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Table 5.3 presents the results of the CAARs for the event windows [-1;0], [0;1], [0;2], [0;3], [0;+10] and [-10;10],whereas the CAAR for the event windows [-10;10] is visualized in figures 5.1, and 5.2. Note that [-10;10] is from t =-9 to τ = 10, which is equal to ten days prior to the event, the event date, and ten post event days. The most remarkable significant results for panel A are on the event window [0;10]. This significant results can be explained by a return to a normal price level due to higher and respectively lower prices in the days prior to the notification. This is also visible in figure 5.1.

Figure 5.1 Panel A CAAR for the event window [-10;10]

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explained by the demand for shares by the issuer of the notification on the days on or prior to the notification.

Figure 5.2 Panel B CAAR for the event window [-10;10]

More interesting are the significant results for panel B concerning the notifications of a decrease in Norwegian shareholdings. There is a significant reaction for the event windows [0;1], [0;2], and [0;10]. This implies that there is a negative reaction to the decrease in shareholdings of a major shareholder. More important, for the event windows [0;1] and [0;2] this happens after the notifications and thus this is not caused by the sale of shares by the major shareholder itself. Even if the AAR for τ = 1 from table 5.2 is taken into account there remains a significant CAAR for event window [0;3] at a 5% level. The reason why there does not occur any significant results in the controlled Norwegian sample lies probably in the fact that due to the low amount of valid observations the T-value is too high.

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S.J.H.Hondshorst - 34 - Increase (n = 65) Increase (1) (n = 49) Decrease (n = 47) Decrease (1) (n = 40)

Event Window CAAR CAAR CAAR CAAR

‐1, 0 0.00393 0.00108 0.00759 ‐0.00170 0, +1 ‐0.00001 ‐0.00213 0.00625 ‐0.00600 0, +2 0.00217 ‐0.00009 0.00279 ‐0.01035 * 0, +3 ‐0.00356 ‐0.00455 0.01147 ‐0.00340 0,+10 ‐0.01228 ** ‐0.02092 *** 0.02550 ** ‐0.00847 ‐10,+10 0.00097 ‐0.00511 0.02360 ‐0.02008 Increase (n = 97) Increase (1) (n = 60) Decrease (n = 36) Decrease (1) (n = 19)

‐1, 0 0.01571 *** 0.02381 *** 0.00058 ‐0.01168 0, +1 0.01111 *** 0.01704 *** ‐0.01700 * ‐0.01431 0, +2 0.01287 *** 0.01104 * ‐0.02444 ** ‐0.01176 0, +3 0.00973 * 0.00569 ‐0.01539 0.00963 0,+10 0.01848 ** 0.01009 ‐0.03706 * ‐0.05761 * ‐10,+10 0.00510 0.01773 ‐0.05103 ‐0.06339 * Increase (n = 162) Increase (1) (n = 109) Decrease (n = 83) Decrease (1) (n = 59)

‐1, 0 0.01098 *** 0.00070 0.00455 ‐0.00491 0, +1 0.00665 *** ‐0.00080 ‐0.00383 ‐0.00867 0, +2 0.00858 *** 0.00006 ‐0.00902 ‐0.01080 0, +3 0.00440 ‐0.00199 ‐0.00018 0.00080 0,+10 0.00614 ‐0.00931 *** ‐0.00163 ‐0.02429 * ‐10,+10 0.00344 ‐0.00213 ‐0.00877 ‐0.03403 * (1) cases with a marketability value of > 20 were deleted Statistical significance of 10%, 5%, 1% denotes *,**,*** Panel A: Netherlands Panel B: Norway Panel C: Netherlands + Norway

Table 5.3 CAAR for different event windows

5.2 Notifications where a major shareholder (dis)appeared

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observations in panel D, E and F are part of panel A,B and C. However there are some interesting observations to be made.

Appereance (n = 49) Appereance (1) (n = 40) Disappereance (n = 30) Disappereance (1) (n = 28)

Day AAR AAR AAR AAR

‐1 0.00327 0.00479 0.00075 0.00016 0 ‐0.00169 ‐0.00256 0.00156 ‐0.00662 1 0.00264 0.00373 ‐0.01158 ** ‐0.00815 * 2 0.00204 0.00326 ‐0.00723 ‐0.00581 3 ‐0.00694 ** ‐0.00412 0.01066 ** 0.00856 ** 4 0.00160 0.00145 0.00764 0.00215 5 ‐0.00644 ‐0.00867 ‐0.00333 0.00093 6 ‐0.00388 ‐0.00136 ‐0.00118 ‐0.00051 Appereance (n = 66) Appereance (1) (n = 40) Disappereance (n = 27) Disappereance (1) (n = 15)

Day AAR AAR AAR AAR

‐1 ‐0.00366 0.00816 * ‐0.00678 ‐0.01139 0 0.01110 *** 0.00840 ** 0.00725 ‐0.00475 1 ‐0.00158 0.00124 ‐0.02950 *** ‐0.01885 2 0.00485 ‐0.00205 ‐0.01177 ‐0.00276 3 ‐0.00161 ‐0.00619 0.01029 0.02630 ** 4 0.00304 0.00587 ‐0.00576 ‐0.03032 ** 5 0.00255 ‐0.00072 0.00579 ‐0.00857 6 0.00948 ** 0.00434 ‐0.01574 * ‐0.01136 Appereance (n = 115) Appereance (1) (n = 80) Disappereance (n = 57) Disappereance (1) (n = 43)

Day AAR AAR AAR AAR

‐1 ‐0.00071 0.00414 ** ‐0.00282 ‐0.00016 0 0.00565 ** 0.00417 ** 0.00425 ‐0.00442 1 0.00022 0.00066 ‐0.02007 *** ‐0.00574 ** 2 0.00365 ‐0.00098 ‐0.00938 * ‐0.00385 3 ‐0.00388 ‐0.00315 0.01048 ** 0.00618 ** 4 0.00242 0.00295 0.00129 0.00070 5 ‐0.00128 ‐0.00047 0.00099 0.00041 6 0.00378 0.00215 ‐0.00808 * ‐0.00059 (1) cases with a marketability value of > 20 were deleted Statistical significance of 10%, 5%, 1% denotes *,**,*** Panel D: Netherlands Panel E: Norway Panel F: Netherlands + Norway

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Panel D shows a significant negative results after the notification of the disappearance of a major shareholder. Two days later at τ = 3there is an significant positive reaction. This can be explained by a correction of the market after two days of decreasing share prices. The same movement is visible for panel E. Concerning the notifications where a major shareholder appeared panel D shows a significant negative result at τ = 3. In the same situation, panel E give significant results at the event day. As already explained for panel A and B, this significant result can be explained by the acquisition of the shares.

Table 5.5 shows the effect of extreme values on the results. For panel D only the negative abnormal return on τ = 1 where a major shareholder disappeared remains significant.

Panel D: Netherlands Day in Event window AAR Positive outliers Negative outliers Positive extreme values Negative extreme values N (without extremes) AAR without extremes Sig. Appereance τ3 ‐0.0069 1 3 1 48 ‐0.0051 Disappereance τ1 ‐0.0116 1 29 ‐0.0116 ** Disappereance τ3 0.0107 3 1 29 0.0078 Disappereance τ1 (1) ‐0.0081 28 ‐0.0081 * Disappereance τ3 (1) 0.0086 1 1 27 0.0054 Panel E: Norway Day in Event window AAR Positive outliers Negative outliers Positive extreme values Negative extreme values N (without extremes) AAR without extremes Sig. Appereance τ0 0.0111 3 4 3 63 0.0037 Appereance τ6 0.0095 3 1 4 62 0.0031 Appereance τ‐1 (1) 0.0082 1 2 1 37 0.0014 Appereance τ0 (1) 0.0084 2 2 1 39 0.0039 Disappereance τ1 ‐0.0295 1 2 25 ‐0.0108 Disappereance τ6 ‐0.0157 1 27 ‐0.0157 * Disappereance τ3 (1) 0.0263 2 15 0.0263 ** Disappereance τ4 (1) ‐0.0303 1 1 14 ‐0.0128 (1) cases with a marketability value of > 20 were deleted Statistical significance of 10%, 5%, 1% denotes *,**,***

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Table 5.6 presents the results of the CAARs for the event windows [-1;0], [0;1], [0;2], [0;3], [0;+10] and [-10;+10]. The CAAR for the event window [-10;10] is visualized in figure 5.3 and 5.4. Again, note that [-10;+10] is from t =-9 to τ = 10, which is equal to ten days prior to the event, the event date and ten post event days.

Figure 5.3 Panel D CAAR for the event window [-10;10]

Figure 5.4 Panel E CAAR for the event window [-10;10]

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marketability value higher than 20 is visible. For both panels the red line lies above the blue line. So the CAAR [-10;10] for the notifications without high marketability values are more explicit. This also applies to the results from Panel A and B.

Appereance (n = 49) Appereance (1) (n = 40) Disappereance (n = 30) Disappereance (1) (n = 28)

‐1, 0 0,00157 0,00223 0,00231 ‐0,00647 0, +1 0,00095 0,00117 ‐0,01002 ‐0,01477 ** 0, +2 0,00299 0,00443 ‐0,01725 ** ‐0,02058 *** 0, +3 ‐0,00395 0,00031 ‐0,00659 ‐0,01203 0,+10 ‐0,01262 ‐0,01475 ‐0,00555 ‐0,01325 ‐10,+10 ‐0,00318 0,00111 ‐0,01928 ‐0,02834 Appereance (n = 66) Appereance (1) (n = 40) Disappereance (n = 27) Disappereance (1) (n = 15)

‐1, 0 0,00744 0,01657 *** 0,00035 ‐0,01613 0, +1 0,00952 * 0,00964 ‐0,01669 ‐0,02360 0, +2 0,01437 ** 0,00759 ‐0,02551 * ‐0,02635 0, +3 0,01276 * 0,00140 ‐0,01780 ‐0,00006 0,+10 0,02449 ** 0,00383 ‐0,05534 * ‐0,08853 * ‐10,+10 0,00466 0,01376 ‐0,05890 ‐0,08134 Appereance (n = 115) Appereance (1) (n = 80) Disappereance (n = 57) Disappereance (1) (n = 43)

‐1, 0 0,00494 0,00831 *** 0,00144 ‐0,00459 0, +1 0,00587 * 0,00484 * ‐0,01581 ** ‐0,01017 ** 0, +2 0,00952 ** 0,00385 ‐0,02519 *** ‐0,01402 *** 0, +3 0,00564 0,00071 ‐0,01471 ‐0,00783 0,+10 0,00868 0,00173 ‐0,02913 ‐0,01069 ‐10,+10 0,00132 0,00689 ‐0,03804 ‐0,02034 (1) cases with a marketability value of > 20 were deleted Statistical significance of 10%, 5%, 1% denotes *,**,*** Panel D: Netherlands Panel E: Norway Panel F: Netherlands + Norway

Table 5.6 CAAR for different event windows

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6. DISCUSSION, CONCLUSION &

RECOMMENDATIONS

To conclude this study, this final section presents the main conclusions and it will explain what this means for the hypothesis and the answer to the research question. The first paragraph discusses the conclusions and the second paragraph gives recommendations for further research.

6.1 Discussion and conclusion

This explorative study investigates the value of significant minority control by measuring the abnormal stock returns after the notification made by a major shareholder. This is done by an event-study for both situations where a shareholder reached or fell below a threshold of outstanding shares and the voting rights attached to it. Beside the research objective, to measure the value of majority control in listed companies, this thesis aimed to explore whether an event study suits for the a research to the value of control. Moreover it gives an idea of how the requirements of the security trading act are perceived and valued by the financial markets.

As a first step it was hypothesized that notification of an increase or decrease in shareholdings will have a significant influence on the share price. For the notifications where a threshold was reached the panels show a positive result in the days prior to the announcement. This could be explained by the demand for shares by the issuer of the notifications. The behavior of the share price after the event is different for the samples, both the sign (positive or negative) of the average abnormal return (AAR) on a specific day, as well as the behavior of the cumulative average abnormal return (CAAR) during a period.

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were selected. The results are in line with the results from the first hypothesis and like the first hypothesis many of the significant results do not hold after controlling for marketability and erasing extreme values. Sometimes this was due to a lower amount of events and as a result a higher T-value to become significant.

Finally it was hypothesized that shareholders in Norway compared to the Netherlands will respond differently to the appearance of a minority shareholder. Unfortunately it was not possible to test this hypothesis due to the complexity of extreme values and marketability.

To summarize, all of the panels in this study show some significant abnormal returns. Some of these abnormal returns can be explained by buying or selling activities by the issuer of the notification. Other significant abnormal returns might be explained as a reaction of other shareholders to the notification. Interestingly, most of the panels show more explicit CAAR’s after controlling for marketability, especially notifications where a threshold was reached. In conclusion, based on the results it is not possible to simply reject of accept the hypothesis, and thus all hypothesis should be rejected. Also the research question cannot be answered. The values of abnormal return are not consistent and therefore it is not possible to value majority control as a percentage premium or discount on shares.

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biased by marketability and individual cases. These findings give way to several directions for future research.

6.2 Recommendations

It is important to address attention to the limitations of this study. First of all the validity of this study is a trade-off between the length of the estimation window on the one hand and the number of events on the other hand. A longer estimation window might improve the accuracy of the estimate of securities’ reaction to changes in the market. On the other hand, a longer estimation period would decrease the number of events due to overlap in estimation period. Second, this study is limited to two countries, which also limits the number of valid events. Third, the period under study is limited to 27 months, from the beginning of 2007 to the first quarter of 2009.

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APPENDIX A: ESTIMATION WINDOW &

NORMALITY

Increase Increase (1) Decrease Decrease (1)

Descriptives N 90 90 90 90 Mean ‐0,000095 ‐0,000094 ‐0,000413 ‐0,000584 Median ‐0,000371 ‐0,000408 0,000452 ‐0,001877 Variance 0,000 0,000 0,000 0,000 Std. Deviation 0,003153 0,003369 0,006403 0,009045 Minimum ‐0,007362 ‐0,010022 ‐0,012333 ‐0,019164 Maximum 0,009324 0,009583 0,013957 0,020377 Skewness 0,267 0,176 ‐0,048 0,341 Kurtosis 0,561 0,928 ‐0,747 ‐0,309 Test for normality Kolmogorov ‐ Smirnov Statistic 0,063 0,071 0,091 0,070 Sig. 0,200 0,200 0,064 0,200 Shapiro‐Wilk Statistic 0,987 0,975 0,975 0,981 Sig. 0,505 0,074 0,081 0,208 (1) cases with a marketability value of > 20 were deleted Panel B: Norway

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Appereance Appereance (1) Disappereance Disappereance (1)

Descriptives N 90 90 90 90 Mean ‐0,000044 ‐0,000038 0,000030 ‐0,000067 Median 0,000005 ‐0,000378 ‐0,000722 ‐0,000360 Variance 0,000 0,000 0,000 0,000 Std. Deviation 0,003234 0,003318 0,004648 0,004041 Minimum ‐0,008200 ‐0,008600 ‐0,009900 ‐0,009200 Maximum 0,008300 0,007600 0,017000 0,009000 Skewness ‐0,012 0,125 0,546 0,221 Kurtosis ‐0,129 ‐0,619 0,869 ‐0,365 Test for normality Kolmogorov ‐ Smirnov Statistic 0,051 0,083 0,088 0,048 Sig. 0,200 0,174 0,084 0,200 Shapiro‐Wilk Statistic 0,995 0,981 0,979 0,987 Sig. 0,979 0,207 0,154 0,494 * cases with a marketability value of > 20 were deleted Panel D: Netherlands

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Descriptives N 90 90 90 90 Mean ‐0,000063 ‐0,000037 ‐0,000253 ‐0,000060 Median ‐0,000086 ‐0,000078 ‐0,000214 ‐0,000172 Variance 0,000 0,000 0,000 0,000 Std. Deviation 0,002525 0,002029 0,004797 0,002673 Minimum ‐0,005100 ‐0,004300 ‐0,009700 ‐0,006000 Maximum 0,006100 0,004500 0,010500 0,006300 Skewness 0,233 0,182 0,01 0,248 Kurtosis ‐0,213 ‐0,138 ‐0,683 ‐0,285 Test for normality Kolmogorov ‐ Smirnov Statistic 0,044 0,077 0,061 0,051 Sig. 0,200 0,200 0,200 0,200 Shapiro‐Wilk Statistic 0,988 0,983 0,985 0,988 Sig. 0,591 0,303 0,368 0,557 * cases with a marketability value of > 20 were deleted Panel F: Neterlands + Norway

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APPENDIX B: AVERAGE ABNORMAL RETURNS

(AAR)

Table B.I AAR Panel A: The Netherlands

Table B.I presents a combination of the daily AAR and the T-values of the Dutch notifications in the event window (-25, +20). AAR’s are based on the 90 days prior to the notification of where a major shareholder equalized or fell below a threshold. The days t = -25 to t = -1 are used as estimator for the AAR in τ-1 to τ +20.

Day AAR T Values AAR T Values AAR T Values AAR T Values t = ‐25 ‐0.0003 ‐0.123 ‐0.0029 ‐1.046 ‐0.0052 ‐1.381 ‐0.0003 ‐0.087 t = ‐24 ‐0.0003 ‐0.128 ‐0.0013 ‐0.464 0.0055 1.459 ‐0.0003 ‐0.099 t = ‐23 0.0036 1.314 0.0037 1.325 0.0009 0.235 0.0003 0.104 t = ‐22 ‐0.0022 ‐0.805 ‐0.0007 ‐0.256 0.0008 0.206 ‐0.0010 ‐0.307 t = ‐21 0.0005 0.188 0.0027 0.985 ‐0.0046 ‐1.239 ‐0.0018 ‐0.548 t = ‐20 ‐0.0064 ** ‐2.377 ** ‐0.0077 *** ‐2.780 *** ‐0.0024 ‐0.650 ‐0.0015 ‐0.461 t = ‐19 ‐0.0037 ‐1.377 ‐0.0033 ‐1.201 0.0018 0.494 0.0044 1.358 t = ‐18 0.0025 0.917 0.0048 * 1.730 * 0.0072 * 1.921 * 0.0036 1.108 t = ‐17 ‐0.0025 ‐0.937 ‐0.0035 ‐1.250 0.0018 0.485 ‐0.0017 ‐0.530 t = ‐16 0.0012 0.441 ‐0.0009 ‐0.318 ‐0.0002 ‐0.054 ‐0.0006 ‐0.177 t = ‐15 ‐0.0008 ‐0.296 ‐0.0013 ‐0.469 ‐0.0030 ‐0.804 ‐0.0046 ‐1.410 t = ‐14 ‐0.0004 ‐0.149 ‐0.0027 ‐0.986 0.0027 0.712 0.0003 0.084 t = ‐13 0.0007 0.251 0.0036 1.297 0.0050 1.325 ‐0.0010 ‐0.312 t = ‐12 0.0007 0.272 ‐0.0017 ‐0.616 ‐0.0045 ‐1.206 0.0008 0.241 t = ‐11 ‐0.0016 ‐0.609 ‐0.0020 ‐0.715 0.0009 0.239 ‐0.0005 ‐0.161 t = ‐10 0.0011 0.395 0.0019 0.681 0.0000 ‐0.012 ‐0.0006 ‐0.186 t = ‐9 ‐0.0026 ‐0.979 0.0011 0.395 ‐0.0049 ‐1.318 ‐0.0076 ** ‐2.322 ** t = ‐8 0.0004 0.141 ‐0.0027 ‐0.961 0.0010 0.268 ‐0.0007 ‐0.208 t = ‐7 ‐0.0010 ‐0.372 0.0016 0.592 0.0036 0.959 0.0018 0.562 t = ‐6 0.0029 1.086 0.0021 0.746 0.0025 0.664 ‐0.0006 ‐0.174 t = ‐5 ‐0.0028 ‐1.024 ‐0.0009 ‐0.331 0.0026 0.708 0.0028 0.855 t = ‐4 0.0033 1.223 0.0018 0.653 ‐0.0003 ‐0.091 ‐0.0044 ‐1.355 t = ‐3 0.0017 0.621 0.0016 0.569 ‐0.0012 ‐0.333 0.0044 1.358 t = ‐2 0.0024 0.904 0.0037 1.349 ‐0.0059 ‐1.572 ‐0.0058 * ‐1.778 * t = ‐1 0.0025 0.925 0.0025 0.916 ‐0.0006 ‐0.154 ‐0.0025 ‐0.756 τ = ‐1 0.0064 ** 2.378 ** 0.0049 * 1.782 * 0.0013 0.359 0.0008 0.260 τ = 0 ‐0.0025 ‐0.922 ‐0.0039 ‐1.392 0.0062 1.671 ‐0.0025 ‐0.781 τ = 1 0.0025 0.918 0.0017 0.622 0.0000 0.001 ‐0.0034 ‐1.057 τ = 2 0.0022 0.809 0.0020 0.738 ‐0.0035 ‐0.927 ‐0.0044 ‐1.333 τ = 3 ‐0.0057 ** ‐2.121 ** ‐0.0045 ‐1.610 0.0087 ** 2.322 ** 0.0070 ** 2.129 ** τ = 4 0.0007 0.241 ‐0.0001 ‐0.039 0.0069 * 1.852 * 0.0005 0.166 τ = 5 ‐0.0052 * ‐1.923 * ‐0.0081 *** ‐2.931 *** ‐0.0015 ‐0.409 ‐0.0006 ‐0.171 τ = 6 ‐0.0023 ‐0.868 ‐0.0027 ‐0.983 ‐0.0001 ‐0.025 ‐0.0008 ‐0.243 τ = 7 ‐0.0001 ‐0.048 ‐0.0006 ‐0.210 0.0090 ** 2.402 ** 0.0008 0.256 τ = 8 0.0003 0.109 ‐0.0022 ‐0.782 ‐0.0059 ‐1.584 ‐0.0030 ‐0.910 τ = 9 ‐0.0044 ‐1.612 ‐0.0047 * ‐1.683 * ‐0.0022 ‐0.586 ‐0.0021 ‐0.628 τ = 10 0.0024 0.872 0.0020 0.716 0.0079 ** 2.104 ** ‐0.0001 ‐0.023 τ = 11 ‐0.0001 ‐0.055 ‐0.0001 ‐0.032 0.0034 0.905 0.0046 1.420 τ = 12 0.0012 0.462 0.0022 0.799 ‐0.0022 ‐0.583 0.0011 0.327 τ = 13 ‐0.0013 ‐0.484 ‐0.0014 ‐0.521 ‐0.0013 ‐0.358 ‐0.0025 ‐0.753 τ = 14 ‐0.0029 ‐1.080 ‐0.0034 ‐1.245 0.0078 ** 2.099 ** 0.0032 0.995 τ = 15 0.0049 * 1.821 * 0.0008 0.306 0.0001 0.034 ‐0.0005 ‐0.154 τ = 16 ‐0.0016 ‐0.586 ‐0.0032 ‐1.172 ‐0.0008 ‐0.216 0.0001 0.040 τ = 17 0.0024 0.900 ‐0.0054 ‐1.958 ‐0.0035 ‐0.925 ‐0.0097 *** ‐2.986 *** τ = 18 0.0037 1.373 ‐0.0006 ‐0.201 0.0053 1.409 0.0080 ** 2.454 ** τ = 19 ‐0.0038 ‐1.421 ‐0.0042 ‐1.521 0.0056 1.495 0.0052 1.605 τ = 20 ‐0.0029 ‐1.061 0.0020 0.710 0.0079 ** 2.121 ** 0.0038 1.158 (1) cases with a marketability value of > 20 were deleted Statistical significance of 10%, 5%, 1% denotes *,**,*** Panel A: Netherlands

Increase (n = 65) Increase (1) (n = 49) Decrease (n = 47) Decrease (1)(n = 40)

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Table B.II AAR Panel B: Norway

Table B.II presents a combination of the daily AAR and the T-values of the Norwegian notifications in the event window (-25, +20). AAR’s are based on the 90 days prior to the notification of where a major shareholder equalized or fell below a threshold. The days t = -25 to t = -1 are used as estimator for the AAR in τ-1 to τ +20.

Day AAR T Values AAR T Values AAR T Values AAR T Values t = ‐25 ‐0.0074 ** ‐2.335 ** ‐0.0100 *** ‐2.974 *** ‐0.0039 ‐0.613 ‐0.0056 ‐0.616 t = ‐24 ‐0.0017 ‐0.545 ‐0.0011 ‐0.341 ‐0.0056 ‐0.874 ‐0.0048 ‐0.528 t = ‐23 0.0010 0.313 ‐0.0022 ‐0.647 0.0049 0.760 0.0045 0.502 t = ‐22 0.0001 0.021 ‐0.0006 ‐0.184 0.0042 0.657 0.0083 0.914 t = ‐21 0.0017 0.532 ‐0.0019 ‐0.575 ‐0.0121 * ‐1.895 * ‐0.0026 ‐0.283 t = ‐20 ‐0.0008 ‐0.268 0.0001 0.015 0.0025 0.383 0.0070 0.777 t = ‐19 0.0024 0.772 0.0034 1.004 ‐0.0093 ‐1.455 ‐0.0062 ‐0.689 t = ‐18 0.0010 0.311 ‐0.0003 ‐0.102 ‐0.0062 ‐0.967 ‐0.0150 ‐1.655 t = ‐17 ‐0.0042 ‐1.328 ‐0.0021 ‐0.637 ‐0.0048 ‐0.746 0.0065 0.718 t = ‐16 ‐0.0063 * ‐1.984 * ‐0.0046 ‐1.355 0.0031 0.485 0.0040 0.445 t = ‐15 0.0022 0.693 ‐0.0011 ‐0.315 0.0040 0.623 ‐0.0082 ‐0.906 t = ‐14 ‐0.0020 ‐0.646 ‐0.0047 ‐1.399 0.0016 0.251 ‐0.0086 ‐0.948 t = ‐13 ‐0.0008 ‐0.257 0.0001 0.042 0.0063 0.990 0.0061 0.670 t = ‐12 ‐0.0011 ‐0.344 ‐0.0029 ‐0.872 ‐0.0074 ‐1.152 ‐0.0141 ‐1.561 t = ‐11 ‐0.0027 ‐0.846 ‐0.0026 ‐0.781 ‐0.0092 ‐1.437 ‐0.0030 ‐0.336 t = ‐10 0.0038 1.214 0.0055 1.624 ‐0.0106 * ‐1.662 * ‐0.0101 ‐1.114 t = ‐9 ‐0.0043 ‐1.361 ‐0.0036 ‐1.056 ‐0.0082 ‐1.280 ‐0.0048 ‐0.531 t = ‐8 ‐0.0021 ‐0.653 ‐0.0034 ‐1.010 0.0037 0.576 0.0035 0.392 t = ‐7 ‐0.0030 ‐0.942 ‐0.0014 ‐0.417 0.0061 0.957 0.0114 1.260 t = ‐6 ‐0.0028 ‐0.895 0.0005 0.157 ‐0.0123 * ‐1.918 * ‐0.0179 * ‐1.977 * t = ‐5 ‐0.0008 ‐0.253 0.0022 0.651 0.0045 0.704 0.0204 ** 2.253 ** t = ‐4 0.0002 0.068 ‐0.0004 ‐0.108 ‐0.0016 ‐0.250 ‐0.0028 ‐0.307 t = ‐3 ‐0.0035 ‐1.097 ‐0.0025 ‐0.739 ‐0.0080 ‐1.242 ‐0.0133 ‐1.472 t = ‐2 0.0031 0.987 0.0076 ** 2.253 ** 0.0009 0.147 0.0079 0.876 t = ‐1 ‐0.0029 ‐0.924 ‐0.0017 ‐0.495 0.0065 1.009 0.0020 0.224 τ = ‐1 0.0026 0.825 0.0102 *** 3.033 *** ‐0.0057 ‐0.885 ‐0.0123 ‐1.356 τ = 0 0.0131 *** 4.157 *** 0.0136 *** 4.032 *** 0.0062 0.976 0.0006 0.064 τ = 1 ‐0.0020 ‐0.634 0.0035 1.025 ‐0.0232 *** ‐3.630 *** ‐0.0149 ‐1.646 τ = 2 0.0018 0.559 ‐0.0060 * ‐1.782 * ‐0.0074 ‐1.163 0.0025 0.281 τ = 3 ‐0.0031 ‐0.995 ‐0.0053 ‐1.587 0.0091 1.414 0.0214 ** 2.365 ** τ = 4 0.0018 0.557 0.0031 0.916 ‐0.0059 ‐0.927 ‐0.0272 *** ‐3.008 *** τ = 5 0.0022 0.709 ‐0.0017 ‐0.510 0.0067 1.051 ‐0.0063 ‐0.701 τ = 6 0.0085 *** 2.712 *** 0.0068 ** 2.005 ** ‐0.0107 ‐1.663 ‐0.0084 ‐0.929 τ = 7 ‐0.0004 ‐0.138 ‐0.0006 ‐0.185 ‐0.0009 ‐0.133 ‐0.0031 ‐0.340 τ = 8 0.0004 0.117 ‐0.0003 ‐0.087 ‐0.0078 ‐1.216 ‐0.0162 * ‐1.787 * τ = 9 ‐0.0050 ‐1.591 ‐0.0033 ‐0.989 ‐0.0045 ‐0.707 ‐0.0038 ‐0.415 τ = 10 0.0013 0.407 0.0005 0.156 0.0014 0.212 ‐0.0023 ‐0.255 τ = 11 ‐0.0031 ‐0.969 ‐0.0041 ‐1.209 ‐0.0051 ‐0.791 ‐0.0048 ‐0.529 τ = 12 0.0031 0.982 0.0050 1.494 ‐0.0073 ‐1.137 ‐0.0078 ‐0.857 τ = 13 ‐0.0005 ‐0.153 ‐0.0013 ‐0.387 ‐0.0028 ‐0.435 ‐0.0110 ‐1.220 τ = 14 0.0004 0.131 0.0030 0.899 0.0075 1.166 0.0047 0.524 τ = 15 0.0022 0.687 0.0003 0.090 0.0050 0.774 ‐0.0055 ‐0.610 τ = 16 ‐0.0024 ‐0.757 ‐0.0018 ‐0.529 0.0021 0.332 ‐0.0078 ‐0.868 τ = 17 0.0037 1.189 0.0015 0.432 0.0061 0.951 0.0057 0.627 τ = 18 ‐0.0026 ‐0.827 ‐0.0027 ‐0.796 0.0080 1.255 0.0102 1.128 τ = 19 0.0028 0.879 ‐0.0027 ‐0.787 ‐0.0090 ‐1.405 ‐0.0014 ‐0.156 τ = 20 0.0041 1.300 0.0051 1.506 0.0047 0.739 0.0009 0.098 (1) cases with a marketability value of > 20 were deleted Statistical significance of 10%, 5%, 1% denotes *,**,*** Panel B: Norway

Increase (n = 97) Increase (1) (n = 60) Decrease (n = 36) Decrease (1) (n = 19)