Hello everybody! I am working on the thesis for my Master's degree and in particular I am studying the wealth creation for bidder shareholders in M&A transactions where the target is a digital company. I used a standard event-study approach to calculate the abnormal return for each company and now I am running a cross sectional regression on CARs using some explanatory factors.

The regression line is the following [$] CAR_i=β_0+β_1 DTE_i+β_2 Beta_i+β_3 BTM_i+β_4 (Int_i)/TA_i+β_5 RS_i+β_5 D1_i+β_6 D2_i+ϵ_i[$]

Where [$] DTE_i[$] is the debt to equity ratio, [$]BTM_i[$] is the Book to Market ratio, [$]Int_i/TA_i[$] is the intangible on total assets ratio, [$]RS_i[$] is the ratio between the deal value and the enterprise value of the bidder and [$]D1_i[$] is a dummy that indicates if the acquirer performed more than one acquisition in the studied period and [$]D2_i[$] is a dummy that indicates if the acquirer is a digital company.

The overall results are somehow in line with literature, the [$]R^2[$] is about 11% but the only significant factors are beta, relative size and the first dummy. In particular what concerns me is the sign on the beta coefficient. I expected this coefficient to have a negative sign, meaning: the higher the exposure to market risk as measured by beta, the higher the perceived risk when performing the acquisition and thus I expected a negative impact on CARs... but coefficients are positive with a strong 2.98 t-stat. What I am missing from the interpretation of this factor? Thank you all!

P.S. I did run some diagnostics on the regression.. no heteroskedasticity affects the regression, residuals are well behaved and not relevant multicollinearity appears!