Volatility in stocks subject to takeover bids : Australian evidence using daily data

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dc.contributor.author Hutson, Elaine
dc.contributor.author Kearney, Colm
dc.date.accessioned 2010-05-21T13:48:42Z
dc.date.available 2010-05-21T13:48:42Z
dc.date.copyright 2001 Elsevier Science B.V. en
dc.date.issued 2001-07
dc.identifier.citation Journal of Empirical Finance en
dc.identifier.issn 0927-5398
dc.identifier.uri http://hdl.handle.net/10197/2008
dc.description.abstract Using daily price and volume data on 112 of the largest takeover targets in Australia during the period from 1985 to 1993, we find that conditional price volatility declines after the takeover announcement. This decline is greatest for targets of cash bids and smallest for targets of share-exchange bids. We argue that the phenomenon is due to convergence of trader opinion regarding the value of the target stock, and reflects a change in the price formation process that has not hitherto been recognised. Our findings have implications for event studies of takeovers that inappropriately assume a time-invariant risk-return relation, and also for regulatory policies in the market for corporate control. en
dc.description.sponsorship Not applicable en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Elsevier en
dc.subject Volatility en
dc.subject Takeover bids en
dc.subject Stocks en
dc.subject.lcsh Consolidation and merger of corporations--Australia en
dc.subject.lcsh Stocks--Prices en
dc.subject.lcsh Consolidation and merger of corporations--Econometric models en
dc.title Volatility in stocks subject to takeover bids : Australian evidence using daily data en
dc.type Journal Article en
dc.internal.availability Full text not available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://dx.doi.org/10.1016/S0927-5398(01)00027-5 en
dc.status Peer reviewed en
dc.identifier.volume 8 en
dc.identifier.issue 3 en
dc.identifier.startpage 273 en
dc.identifier.endpage 296 en
dc.identifier.doi 10.1016/S0927-5398(01)00027-5
dc.neeo.contributor Hutson|Elaine|aut|UCD0044 en
dc.neeo.contributor Kearney|Colm|aut| en

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