International mergers and acquisitions: A jump diffusion model application |
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Authors: | Email author" target="_blank">Halil?KiymazEmail author Osman?Kilic |
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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 |
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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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Keywords: | |
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