TY  - UNPD
A1  - Buehlmaier, Matthias M. M.
A1  - Zechner, Josef
T1  - Financial media, price discovery, and merger arbitrage
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 551
N2  - 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.
T3  - CFS working paper series - 551 
KW  - Financial Media
KW  - Merger Arbitrage
KW  - Hedge Funds
KW  - Market Efficiency
KW  - Mergers and Acquisitions
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/41870
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-418707
UR  - https://ssrn.com/abstract=2858999
IS  - February 28, 2016
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -