کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085336 1477950 2008 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The effect of mergers on implied volatility of equity options
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The effect of mergers on implied volatility of equity options
چکیده انگلیسی
This paper uses a sample of 25 large mergers from 1996 to 2004 to study the effect of mergers on the implied volatilities of equity options. The results indicate a statistically significant increase in volatility beyond the amount predicted if the transaction were effectively nothing more than a portfolio combination of the target and acquirer. The disparity suggests that, at least for the first 18 months after the transaction becomes effective, market participants expect mergers to increase risk. Integration risk and uncertainty about the extent to which efficiency gains and greater market power are realized are possible explanations for the discrepancy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 2, 2008, Pages 330-344
نویسندگان
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