|
|
|
|
||||
|
||||
Stock Returns in Mergers and AcquisitionsErwan MorellecSwiss Finance Institute; Ecole Polytechnique Fédérale de Lausanne Dirk HackbarthUniversity of Illinois at Urbana-Champaign - College of Business October 2006 Swiss Finance Institute Research Paper No. 06-1 EFA 2006 Zurich Meetings Paper Abstract: This paper develops a real options framework to analyze the behavior of stock returns in mergers and acquisitions. In this framework, the timing and terms of takeovers are endogenous and result from value-maximizing decisions. The implications of the model for abnormal announcement returns are consistent with the available empirical evidence. In addition, the model generates new predictions regarding the dynamics of firm-level betas for the time period surrounding control transactions. Using a sample of 1090 takeovers of publicly traded US firms between 1985 and 2002, we present new evidence on the dynamics of firm-level betas, which is strongly supportive of the model's predictions.
Number of Pages in PDF File: 44 Keywords: takeovers, real options, stock returns, firm-level betas JEL Classification: G13, G14, G31, G34 working papers seriesDate posted: March 3, 2006Suggested CitationContact Information
|
|
||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo5 in 0.453 seconds
