The effect of mergers on implied volatility of equity options

Autor:	Gero Geppert, David R. Kamerschen
Rok vydání:	2008
Předmět:	Economics and Econometrics Financial economics Equity (finance) Economics Volatility smile Portfolio Market power Monetary economics Volatility (finance) Implied volatility Database transaction Finance
Zdroj:	International Review of Financial Analysis. 17:330-344
ISSN:	1057-5219
DOI:	10.1016/j.irfa.2006.04.003
Popis:	This paper uses a sample of 25 large mergers from 1996 to 2004 to study the effect of mergers on the implied volatilities of equity options. The results indicate a statistically significant increase in volatility beyond the amount predicted if the transaction were effectively nothing more than a portfolio combination of the target and acquirer. The disparity suggests that, at least for the first 18 months after the transaction becomes effective, market participants expect mergers to increase risk. Integration risk and uncertainty about the extent to which efficiency gains and greater market power are realized are possible explanations for the discrepancy.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b73f95ee8b61c803799d1ac33d5e504f https://doi.org/10.1016/j.irfa.2006.04.003 Zobrazit plný text záznamu Full Text from ScienceDirect