Financial Media, Price Discovery, and Merger Arbitrage

Autor:	Josef Zechner, Matthias M. M. Buehlmaier
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	Finance Economics and Econometrics Financial economics business.industry Market efficiency Event study Percentage point Price discovery Hedge fund Standard deviation Accounting Mergers and acquisitions Economics Risk arbitrage business Stock (geology)
Zdroj:	Review of Finance. 25(4):997-1046
ISSN:	1573-692X 1572-3097
Popis:	Using merger announcements and applying methods from computational linguistics we find strong evidence that stock prices underreact to information in financial media. A one standard deviation increase in the media-implied probability of merger completion increases the subsequent 12-day return of a long-short merger strategy by 1.2 percentage points. Filtering out the 28% of announced deals with the lowest media-implied completion probability increases the annualized alpha from merger arbitrage by 9.3 percentage points. Our results are particularly pronounced when high-yield spreads are large and on days when only few merger deals are announced. We also document that financial media information is orthogonal to announcement day returns.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65d25705d7151f7ae4250bfcff050921 https://research.wu.ac.at/de/publications/40369f4c-f1dc-4d01-a5dd-378b481f6a6f Zobrazit plný text záznamu