The relationship between announcements of complete mergers and acquisitions and acquirers' abnormal CDS spread changes

Benjamin Hippert ()
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Benjamin Hippert: University of Paderborn

No 52, Working Papers Dissertations from Paderborn University, Faculty of Business Administration and Economics

Abstract: Employing a sample of 492 merger and acquisition (M&A) announcements from 284 acquirers across North America and Europe between 2005 and 2018, this study analyzes the impact of M&A announcements on an acquirers abnormal CDS spread changes. We find that spreads from CDS which are written on acquirers increase by 310 bps during a symmetric five-day event window suggesting that investors expect an increase in the acquirers credit risk exposure due to M&As. Next to this baseline finding, we conduct a large variety of sensitivity analyses to gain more insight into the driving factors of the rising risk perception of CDS investors due to M&A announcements.

Keywords: credit default swaps; risk perception of CDS investors; mergers and acquisitions; event study (search for similar items in EconPapers)
JEL-codes: G14 G34 (search for similar items in EconPapers)
Pages: 56
Date: 2019-08
New Economics Papers: this item is included in nep-cfn, nep-com and nep-fmk
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