Determinants and implications of arbitrage holdings in acquisitions
| Autor: | Ralph A. Walkling, Jim Hsieh |
|---|---|
| Rok vydání: | 2005 |
| Předmět: |
Economics and Econometrics
Financial economics Market for corporate control Strategy and Management Monetary economics Probability of success Fixed income arbitrage Convertible arbitrage Covered interest arbitrage Accounting Arbitrage pricing theory Economics Risk arbitrage Endogeneity Arbitrage Finance Index arbitrage |
| Zdroj: | Journal of Financial Economics. 77:605-648 |
| ISSN: | 0304-405X |
| DOI: | 10.1016/j.jfineco.2004.08.003 |
| Popis: | This study investigates arbitrage activities and their impact on acquisitions. The literature contains arguments for both passive and active roles of arbitrageurs during the takeover process. Larcker and Lys (1987) suggest that arbitrageurs are passive, having superior ability to predict offer success. Cornelli and Li (2002) and Gomes (2001) model arbitrageurs as active, influencing the terms and outcome of offers. We find evidence supporting both arguments. Using a simultaneous-equations framework to recognize endogeneity, we analyze 608 acquisition bids over the 1992-1999 period. Consistent with the passive arbitrage argument, the change in arbitrage holdings is greater in successful offers. However, changes in arbitrage holdings are also shown to be an important determinant of the probability of success, bid premia, and arbitrage returns. In addition, the change in arbitrage holdings is positively associated with both revision returns and the occurrence of subsequent bids within one year after initial bids are terminated. Overall, we find that merger arbitrageurs play an important role in the market for corporate control. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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