Taking Over the Size Effect: Asset Pricing Implications of Merger Activity.

Autor:	Easterwood, Sara, Netter, Jeffry, Paye, Bradley, Stegemoller, Michael
Předmět:	MERGERS & acquisitions BUSINESS size CAPITAL assets pricing model TARGET companies BUSINESS announcements EXPECTED returns
Zdroj:	Journal of Financial & Quantitative Analysis; Mar2024, Vol. 59 Issue 2, p690-726, 37p
Abstrakt:	We show that merger announcement returns account for virtually all of the measured size premium. An empirical proxy for ex ante takeover exposure positively and robustly relates to cross-sectional expected returns. The relation between size and expected returns becomes positive or insignificant, rather than negative, conditional on this takeover characteristic. Asset pricing models that include a factor based on the takeover characteristic outperform otherwise similar models that include the conventional size factor. We conclude that the takeover factor should replace the conventional size factor in benchmark asset pricing models. [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
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