 Uncertainty of M&As under asymmetric estimationRama Prasad Kanungo Journal of Business Research, 2021, vol. 122, issue C, 774-793 Abstract: Mergers and acquisitions (M&As) are often surrounded by uncertainty since they do not always deliver the anticipated results. The uncertainty ascribed to the outcomes of M&As is not a boundary concept, rather guides firms’ decision in favour of or against undertaking M&As. Typically, M&As suffer from estimation biases. Moreover, M&As are always treated synonymously as a single entity. Thus, evaluating M&A as a single event under traditional stationary specifications is not adequate for capturing the disaggregate effect of an individual event. This study examines announcement returns of both events individually under the asymmetric specification. Asymmetric specification captures the variance of uncertainty associated with the event outcome for each set of events. The findings further document acquirers (acquisition sample) register pre-announcement wealth loss, but not so with mergers. The cross-sectional analysis indicates that the announcement returns under asymmetric specification are associated with the deal characteristics of both sets of events, except deal premium. Keywords: Uncertainty; Risk; Mergers and acquisitions; GJR-GARCH; Cross-sectional study (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jbrese:v:122:y:2021:i:c:p:774-793 DOI: 10.1016/j.jbusres.2020.07.029 Access Statistics for this article Journal of Business Research is currently edited by A. G. Woodside More articles in Journal of Business Research from Elsevier |
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