Publications in 2009
Markov-switching in target stocks during takeover bids
 |
Author: Gelman S., Wilfling B. Journal of Empirical Finance. 16 (2009), pp.745–758 The paper examines shifts in the market betas and the conditional volatility of stock prices of takeover targets. Using daily stock prices of five European and American targets, we find that adequately specified Markov-switching GARCH models are capable of detecting statistically regime-switches in all takeover deal-types (in cash bids, pure share-exchange bids, mixed bids). In particular, conditional volatility regime-switches are found to be most clear-cut for cash bids. Our economic findings have implications for a broad range of financial applications such as the valuation of target stock options. JEL classification: C32; C52; G12; G14; G34 Keywords: Takeover bids; Stock price dynamics; Markov-switching models |
Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!
To be used only for spelling or punctuation mistakes.