Shareholders wealth and mergers and acquisitions (M&AS)

Justice Kyei-Mensah, Chen Su, Nathan Lael Joseph

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

We re-examine the abnormal returns (ARs) around merger announcements using a large sample of 8,945 announcements. We estimate the ARs using the Carhart (1997) fourfactor model under the standard ordinary least square (OLS) method and the Glosten et al.'s (1993) asymmetric GARCH specification (hereafter, GJR-GARCH). Under the OLS method, acquirers do not generate significant cumulative ARs (CARs) in line with prior work. Our new results, however, show that under the GJR-GARCH estimation, acquirers generate positive and significant cumulative CARs. We attribute the gains to the use of the GJR-GARCH estimation method, as the GJR-GARCH method is more effective in capturing conditional volatility and asymmetry in the excess returns.
Original languageEnglish
Pages (from-to)15-24
Number of pages10
JournalInvestment Management and Financial Innovations
Volume14
Issue number3
DOIs
Publication statusPublished - 4 Nov 2017
Externally publishedYes

Bibliographical note

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Keywords

  • Abnormal returns (ARs)
  • GJR-GARCH
  • Mergers and acquisitions (M&As)
  • Shareholders wealth

Fingerprint Dive into the research topics of 'Shareholders wealth and mergers and acquisitions (M&AS)'. Together they form a unique fingerprint.

  • Cite this