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Article: Financial Media, Price Discovery, and Merger Arbitrage

TitleFinancial Media, Price Discovery, and Merger Arbitrage
Authors
KeywordsFinancial Media
Merger Arbitrage
Hedge Funds
Market Efficiency
Mergers and Acquisitions
Issue Date2021
PublisherOxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/
Citation
Review of Finance, 2021, v. 25 n. 4, p. 997-1046 How to Cite?
AbstractUsing 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.
Persistent Identifierhttp://hdl.handle.net/10722/290495
ISSN
2023 Impact Factor: 5.6
2023 SCImago Journal Rankings: 7.769
SSRN
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorBuehlmaier, MMM-
dc.contributor.authorZechner, J-
dc.date.accessioned2020-11-02T05:43:03Z-
dc.date.available2020-11-02T05:43:03Z-
dc.date.issued2021-
dc.identifier.citationReview of Finance, 2021, v. 25 n. 4, p. 997-1046-
dc.identifier.issn1572-3097-
dc.identifier.urihttp://hdl.handle.net/10722/290495-
dc.description.abstractUsing 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.-
dc.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/-
dc.relation.ispartofReview of Finance-
dc.subjectFinancial Media-
dc.subjectMerger Arbitrage-
dc.subjectHedge Funds-
dc.subjectMarket Efficiency-
dc.subjectMergers and Acquisitions-
dc.titleFinancial Media, Price Discovery, and Merger Arbitrage-
dc.typeArticle-
dc.identifier.emailBuehlmaier, MMM: buehl@hku.hk-
dc.identifier.authorityBuehlmaier, MMM=rp01305-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/rof/rfaa037-
dc.identifier.scopuseid_2-s2.0-85111854390-
dc.identifier.hkuros318292-
dc.identifier.volume25-
dc.identifier.issue4-
dc.identifier.spage997-
dc.identifier.epage1046-
dc.identifier.isiWOS:000685219800003-
dc.publisher.placeUnited Kingdom-
dc.identifier.ssrn2858999-
dc.identifier.issnl1572-3097-

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