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
Englisch

Erschienen in
Series: CFS Working Paper Series ; No. 551

Klassifikation
Wirtschaft
Portfolio Choice; Investment Decisions
Information and Market Efficiency; Event Studies; Insider Trading
Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance
Thema
financial media
merger arbitrage
hedge funds
market efficiency
mergers and acquisitions

Ereignis
Geistige Schöpfung
(wer)
Buehlmaier, Matthias M. M.
Zechner, Josef
Ereignis
Veröffentlichung
(wer)
Goethe University Frankfurt, Center for Financial Studies (CFS)
(wo)
Frankfurt a. M.
(wann)
2016

Handle
URN
urn:nbn:de:hebis:30:3-418707
Letzte Aktualisierung
20.09.2024, 08:23 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Buehlmaier, Matthias M. M.
  • Zechner, Josef
  • Goethe University Frankfurt, Center for Financial Studies (CFS)

Entstanden

  • 2016

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