Idiosyncratic volatility and mergers and acquisitions in emerging markets

PengCheng Zhu, Vijay Jog and Isaac Otchere

Emerging Markets Review, 2014, vol. 19, issue C, 18-48

Abstract: Given the recent findings in the literature that idiosyncratic volatility reflects stock price informativeness, we analyze the impact of idiosyncratic volatility on many acquisition parameters. We find that idiosyncratic volatility is positively related to acquisition premium; the relationship is more significant in deals that occurred in information-poor economies where acquirers have difficulty gathering information about the targets. These deals typically involve bidders from emerging markets and those that have less experience in the target country. Idiosyncratic volatility is also positively related to acquisition completion rate, the likelihood of the bidder acquiring majority control, but is negatively related to takeover probability.

Keywords: Idiosyncratic volatility; Mergers and acquisitions; Emerging markets (search for similar items in EconPapers)
JEL-codes: D82 G15 G34 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:19:y:2014:i:c:p:18-48

DOI: 10.1016/j.ememar.2014.04.001

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