Evidence of Excess Comovement in US Mergers
Per Östberg and
Christoph Wenk
Additional contact information
Per Östberg: University of Zurich, Ecole Polytechnique Fédérale de Lausanne, and Swiss Finance Institute
Christoph Wenk: University of Zurich
No 12-33, Swiss Finance Institute Research Paper Series from Swiss Finance Institute
Abstract:
This paper considers changes in market comovement of merging US firms. Comparing the expected to the actual post merger comovement, we find that the post merger beta exhibits excess comovement with the acquiring firm. This suggests that the firm’s comovement is at least partly determined by its investors. We find that the excess comovement is significantly greater in cash transactions, when target shareholders tender their entire stake, than in pure stock transactions. Additionally, we document that the excess comovement is greater when the target is included in the S&P 500 as a result of the merger.
Keywords: Mergers; Comovement; Segmentation; Method of Payment; Index Inclusion (search for similar items in EconPapers)
JEL-codes: G02 G12 G34 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2012-11
New Economics Papers: this item is included in nep-fmk
References: Add references at CitEc
Citations:
Downloads: (external link)
http://ssrn.com/abstract=2175597 (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1233
Access Statistics for this paper
More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal (rps@sfi.ch).