Arbeitspapier
Financial media, price discovery, and merger arbitrage
Using merger announcements and applying methods from computational linguistics we find strong evidence that stock prices underreact to information in financial media. A one standard deviation increase in the media-implied probability of merger completion increases the subsequent 12-day return of a long-short merger strategy by 1.2 percentage points. Filtering out the 28% of announced deals with the lowest media-implied completion probability increases the annualized alpha from merger arbitrage by 9.3 percentage points. Our results are particularly pronounced when high-yield spreads are large and on days when only few merger deals are announced. We also document that financial media information is orthogonal to announcement day returns.
- Sprache
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Englisch
- Erschienen in
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Series: CFS Working Paper Series ; No. 551
- Klassifikation
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Wirtschaft
Portfolio Choice; Investment Decisions
Information and Market Efficiency; Event Studies; Insider Trading
Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance
- Thema
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financial media
merger arbitrage
hedge funds
market efficiency
mergers and acquisitions
- Ereignis
-
Geistige Schöpfung
- (wer)
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Buehlmaier, Matthias M. M.
Zechner, Josef
- Ereignis
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Veröffentlichung
- (wer)
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Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
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Frankfurt a. M.
- (wann)
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2016
- Handle
- URN
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urn:nbn:de:hebis:30:3-418707
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Buehlmaier, Matthias M. M.
- Zechner, Josef
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2016