| Abstract: | This note investigates the role of changes in the parameters of return-generating models in explaining the pattern of abnormal returns accruing to target and bidding firms around tender-offer announcements. Employing a varyingparameter modeling approach the study finds lower abnormal returns to target firms and increased abnormal returns to bidding firms, relative to standard approaches. However, use of this approach fails to refute the common findings that mean abnormal returns are large for target firms and negligible for bidding firms. |
