On the relationship between aggregate merger activity and the stock market |
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Authors: | PA Geroski |
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Institution: | University of Southampton, Southampton S09 5NH, UK;University of Louvain, Louvain-la-Neuve 1348, Belgium |
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Abstract: | This paper presents substantial evidence to show that the well documented correlation between aggregate merger activity and indices of share prices is unstable, and thus of little predictive value. Further, Granger causality testing suggests that such correlations are spurious, reflecting other more fundamental forces which jointly determine movements in both series. |
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