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International mergers and acquisitions: A jump diffusion model application
Authors:Email author" target="_blank">Halil?KiymazEmail author  Osman?Kilic
Institution:(1) Crummer Graduate School of Business, Rollins College, 32789 Winter Park, FL;(2) Department of Finance, Lender School of Business, Quinnipiac University, 06518 Hamden, CT
Abstract:This paper empirically investigates international mergers and acquisitions (M&As) of foreign targets and bidders by analyzing the stock price behavior of the firms involved. The jump diffusion model is employed to study the effects of the M&A announcements on stock prices. The results indicate that acquisition announcements are perceived as a surprise by the market, but prices seem to adjust rather rapidly, supporting the semi-strong form of the market efficiency hypothesis. In addition, a comparison of the pure diffusion and jump diffusion models indicates that the jump diffusion model is statistically superior to the traditional event study methodology (pure diffusion model). (JEL G34)
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