Merger Impacts on Investor Expectations: An Event Study for Australia

Brian Diepold (bdiepold@gmail.com), Robert Feinberg, David Round (david.round@unisa.edu.au) and Jeremy Tustin (jeremy.tustin@unisa.edu.au)
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David Round: Department of Economics, University of South Australia
Jeremy Tustin: Department of Economics, University of South Australia

No 2007-07, Working Papers from American University, Department of Economics

Abstract: In previous work (Feinberg and Round, 2005), little evidence of share-price response to Australian price-fixing investigations was found. However, these investigations often involve a small part of a company’s operations and antitrust penalties have tended to be relatively small; in fact, some weak support was found for a greater response by investors when penalties were expected to be more significant. Mergers, on the other hand, clearly represent a much more significant event, and we would anticipate a clearer share-price response both to announced mergers and to associated antitrust challenges. While such studies have been done in other countries (primarily for the US), we know of no prior research of this sort for Australia. In this paper we focus on a sample of about 50 mergers and acquisitions involving Australian companies from 1996-2003, examining the impact on share prices of the announcement of these mergers both on the firms involved and on rival firms. For those which were challenged by the Australian antitrust enforcers, we also consider the impact of the announcement of such a challenge.

Pages: 26 pages
Date: 2007-07
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https://doi.org/10.17606/3nn1-7717 First Version, 2007 (application/pdf)

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Journal Article: Merger Impacts on Investor Expectations: An Event Study for Australia (2008)
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