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Merger arbitrage and the interaction between target and bidder stocks during takeover bids

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  • Hutson, Elaine
  • Kearney, Colm

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  • Hutson, Elaine & Kearney, Colm, 2005. "Merger arbitrage and the interaction between target and bidder stocks during takeover bids," Research in International Business and Finance, Elsevier, vol. 19(1), pages 1-26, March.
    • Handle: RePEc:eee:riibaf:v:19:y:2005:i:1:p:1-26
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    References listed on IDEAS

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    1. Mark Mitchell & Todd Pulvino, 2001. "Characteristics of Risk and Return in Risk Arbitrage," Journal of Finance, American Finance Association, vol. 56(6), pages 2135-2175, December.
    2. Morck, Randall & Shleifer, Andrei & Vishny, Robert W, 1990. "Do Managerial Objectives Drive Bad Acquisitions?," Journal of Finance, American Finance Association, vol. 45(1), pages 31-48, March.
    3. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 21-39, March.
    4. repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
    5. Kearney, Colm, 2000. "The determination and international transmission of stock market volatility," Global Finance Journal, Elsevier, vol. 11(1-2), pages 31-52.
    6. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
    7. Jensen, Michael C. & Ruback, Richard S., 1983. "The market for corporate control : The scientific evidence," Journal of Financial Economics, Elsevier, vol. 11(1-4), pages 5-50, April.
    8. Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 517-538.
    9. Koutoulas, George & Kryzanowski, Lawrence, 1996. "Macrofactor Conditional Volatilities, Time-Varying Risk Premia and Stock Return Behavior," The Financial Review, Eastern Finance Association, vol. 31(1), pages 169-195, February.
    10. Oxley, Les & McAleer, Michael, 1993. "Econometric Issues in Macroeconomic Models with Generated Regressors," Journal of Economic Surveys, Wiley Blackwell, vol. 7(1), pages 1-40.
    11. Lee, Charles M C & Ready, Mark J & Seguin, Paul J, 1994. "Volume, Volatility, and New York Stock Exchange Trading Halts," Journal of Finance, American Finance Association, vol. 49(1), pages 183-214, March.
    12. Baker, Malcolm & Savasoglu, Serkan, 2002. "Limited arbitrage in mergers and acquisitions," Journal of Financial Economics, Elsevier, vol. 64(1), pages 91-115, April.
    13. Samuelson, William & Rosenthal, Leonard, 1986. "Price Movements as Indicators of Tender Offer Success," Journal of Finance, American Finance Association, vol. 41(2), pages 481-499, June.
    14. Hutson, Elaine & Kearney, Colm, 2001. "Volatility in stocks subject to takeover bids: Australian evidence using daily data," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 273-296, July.
    15. Levy, Haim & Yoder, James A, 1993. "The Behavior of Option Implied Standard Deviations around Merger and Acquisition Announcements," The Financial Review, Eastern Finance Association, vol. 28(2), pages 261-272, May.
    16. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
    17. Mcleer, M. & Mckenzie, C.R., 1989. "When Are Two Step Estimators Efficient?," Papers 179, Australian National University - Department of Economics.
    18. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    19. Bhagat, Sanjai & Brickley, James A & Loewenstein, Uri, 1987. "The Pricing Effects of Interfirm Cash Tender Offers," Journal of Finance, American Finance Association, vol. 42(4), pages 965-986, September.
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    Cited by:

    1. Balázs Égert & Evžen Kočenda, 2011. "Time-varying synchronization of European stock markets," Empirical Economics, Springer, vol. 40(2), pages 393-407, April.

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