International mergers and acquisitions: A jump diffusion model application

Halil Kiymaz () and Osman Kilic ()

Journal of Economics and Finance, 2004, vol. 28, issue 2, 239-251

Abstract: This paper empirically investigates international mergers and acquisitions (M&As) of foreign targets and bidders by analyzing the stock price behavior of the firms involved. The jump diffusion model is employed to study the effects of the M&A announcements on stock prices. The results indicate that acquisition announcements are perceived as a surprise by the market, but prices seem to adjust rather rapidly, supporting the semi-strong form of the market efficiency hypothesis. In addition, a comparison of the pure diffusion and jump diffusion models indicates that the jump diffusion model is statistically superior to the traditional event study methodology (pure diffusion model). (JEL G34) Copyright Springer 2004

Date: 2004
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DOI: 10.1007/BF02761614

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