Financial media, price discovery, and merger arbitrage
- Using merger announcements and applying methods from computational linguistics we find strong evidence that stock prices under-react 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.
Verfasserangaben: | Matthias M. M. Buehlmaier, Josef ZechnerORCiDGND |
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URN: | urn:nbn:de:hebis:30:3-418707 |
URL: | https://ssrn.com/abstract=2858999 |
Titel des übergeordneten Werkes (Englisch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 551 |
Schriftenreihe (Bandnummer): | CFS working paper series (551) |
Verlag: | Center for Financial Studies |
Verlagsort: | Frankfurt, M. |
Dokumentart: | Arbeitspapier |
Sprache: | Englisch |
Jahr der Fertigstellung: | 2016 |
Jahr der Erstveröffentlichung: | 2016 |
Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Datum der Freischaltung: | 01.11.2016 |
Freies Schlagwort / Tag: | Financial Media; Hedge Funds; Market Efficiency; Merger Arbitrage; Mergers and Acquisitions |
Ausgabe / Heft: | February 28, 2016 |
Seitenzahl: | 68 |
HeBIS-PPN: | 396717586 |
Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Lizenz (Deutsch): | ![]() |