Switching volatility in target stocks during takeover bids
Zusammenfassung
This 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 significant 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 econometric findings have implications for a broad range of financial applications such as the valuation of target stock options.
Schlüsselwörter
Takeover bids; stock price dynamics; Markov-switching models
Zitieren als
Gelman, S., & Wilfling, B. (2009). Switching volatility in target stocks during takeover bids. Journal of Empirical Finance, 16, 745–758.Details
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2009
Fachzeitschrift
Journal of Empirical Finance
Band
16
Erste Seite
745
Letzte Seite
758
Sprache
Englisch
ISSN
0927-5398