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Abnormal returns around mergers and acquisitions for US firms
( Justice Kyei-mensah ) 한양대학교 경제연구소 2021 JOURNAL OF ECONOMIC RESEARCH Vol.26 No.1
We examine the cumulative abnormal returns (CARs) surrounding merger announcements for NYSE, NASDAQ and AMEX-listed firms. We estimate the Fama-French-Carhart four-factor CAPM under both the standard OLS method and the asymmetric GARCH(1,1)-in-mean, hereafter GJR-GARCH-M. The statistical significance of the CARs is determined using the adjusted Boehmer et al. (1991) t-statistics modified by Kolari and Pynnonen (2010). The GJR-GARCH-M method provides stronger support for the view that shareholders of both acquirers and targets gain around merger announcements. To illustrate, at the announcement date, the CAR of 0.233% is insignificant under the OLS for acquirers, whereas, the CAR of 0.386% is significant under the GJR-GARCH-M method. The gain of 0.386% is sizable supporting the neoclassic theory of M&A. Small and low liquidity acquirers and targets exhibit larger CARs than their medium counterparts. Cash and mixed payments are associated with significant CARs but not stock payments.