SSRN-Going Private via LBO - Shareholder Gains in the European Markets by Andre Betzer, Christian Andres, Mark Hoffmann
Betzer, Andres, and Hoffmann investigate what happened to European public firms that went private in the 1996-2002 period. Using classic event study methodology, they find "a positive and significant return...Of about 13.83% at the announcement day." (Don't you love the "about"?) Over the longer -30 days to +30 days event window, they found a CAR of 27%. Possibly more interesting, their regression analysis finds that firms with higher free cash flow problems show higher average returns. Additionally they find that firms who appeared to be undervalued relative to their industry peers, also have higher CARs.
FWIW, this paper reminds me of many of the famous event-study papers from the late 1980s-early 1990s.
Betzer, Andre, Andres, Christian and Hoffmann, Mark, "Going Private via LBO - Shareholder Gains in the European Markets" (January 14, 2004). EFMA 2004 Basel Meetings Paper. http://ssrn.com/abstract=497182