Implied Volatilities in Mergers and Acquisitions
Loading...
Embargo Date
Degree type
Graduate group
Discipline
Subject
mergers
risk
Business
Marketing
risk
Business
Marketing
Funder
Grant number
License
Copyright date
Distributor
Related resources
Author
Contributor
Abstract
The market implied volatilities for target stocks during the period between an acquisition announcement and the transaction resolution were examined for differences between samples of successful and failed transactions. By constructing volatility ratios for all cash and pure stock swap transactions, I find that market implied volatilities for successful and failed transactions diverge over time for cash bids but not stock bids.
Advisor
Date of degree
2009-04-01
Date Range for Data Collection (Start Date)
Date Range for Data Collection (End Date)
Digital Object Identifier
Series name and number
Volume number
Issue number
Publisher
Publisher DOI
Comments
Suggested Citation: Wang, Louis. "Implied Volatilities in Mergers and Acquisitions." Wharton Research Scholars Journal. University of Pennsylvania. April 2009.