Market efficiency and cumulative abnormal returns in M&A
dc.contributor.advisor | Nolte, Sven | |
dc.contributor.author | Hevink, Simon | |
dc.date.issued | 2021-08-19 | |
dc.description.abstract | This study examines the relationship between market efficiency and cumulative abnormal returns around announcement dates of M&A deals. Previous research in M&A found many determinants of M&A success, however the relation with market efficiency has never been researched. This study obtains M&A data of six analyzed markets covering a period from 2002 to 2020. An event study is conducted to calculate the cumulative abnormal returns for 11,123 M&A deals. To determine the value for market efficiency, the model of Delgado-Bonal (2019) is used. Fixed effects regressions and quantile regressions are applied to test the relationship. The results show a significant negative effect between market efficiency and cumulative abnormal returns during the [1, 5] event window. This implies that more efficient market result in lower cumulative abnormal returns after the announcement date of an M&A deal. However, the quantile regressions show significant positive effects for the event windows [-5, 5] and [1, 5]. | en_US |
dc.identifier.uri | https://theses.ubn.ru.nl/handle/123456789/11359 | |
dc.language.iso | en | en_US |
dc.thesis.faculty | Faculteit der Managementwetenschappen | en_US |
dc.thesis.specialisation | Corporate Finance & Control | en_US |
dc.thesis.studyprogramme | Master Economics | en_US |
dc.thesis.type | Master | en_US |
dc.title | Market efficiency and cumulative abnormal returns in M&A | en_US |
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