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Merger Waves and the Structure of Merger and Acquisition Time-Series

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  • Town, R J
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    Abstract

    What is the best characterization of mergers and acquisitions time-series? The traditional response is that mergers occur in "waves." I estimate a two-state, Markov switching-regime model which should capture wave structure if it is present in the data. Linear and nonlinear diagnostics tests suggest that the switching regime model fits the data well, and better than ARIMA models. Said differently, the underlying pattern in the M&A data can be characterized by dichotomous shifts between high and low levels of activity. In addition, objective inferences about the precise dates for these waves are available through a nonlinear filter. Copyright 1992 by John Wiley & Sons, Ltd.

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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

    Volume (Year): 7 (1992)
    Issue (Month): S (Suppl. Dec.)
    Pages: S83-100

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    Handle: RePEc:jae:japmet:v:7:y:1992:i:s:p:s83-100

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    Cited by:
    1. PELI, Gábor & SCHENK, Hans, 2011. "Organizational decision-maker bias supports market wave formation: Evidence with logical formalization," Working Papers 2011006, University of Antwerp, Faculty of Applied Economics.
    2. Barkoulas, John T. & Baum, Christopher F. & Chakraborty, Atreya, 2001. "Waves and persistence in merger and acquisition activity," Economics Letters, Elsevier, vol. 70(2), pages 237-243, February.
    3. Nelson, Charles R & Piger, Jeremy & Zivot, Eric, 2001. "Markov Regime Switching and Unit-Root Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 404-15, October.
    4. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington.
    5. Gugler, Klaus & Mueller, Dennis C. & Weichselbaumer, Michael, 2012. "The determinants of merger waves: An international perspective," International Journal of Industrial Organization, Elsevier, vol. 30(1), pages 1-15.
    6. Boyan Jovanovic & Peter L. Rousseau, 2001. "Stock Markets in the New Economy," Vanderbilt University Department of Economics Working Papers 0118, Vanderbilt University Department of Economics.
    7. Vanhaverbeke,Wim & Duysters,Geert, 1997. "A longitudinal analysis of the choice between technology-based strategic alliances and acquisitions in high-tech industries : the case of the ASIC industry," Research Memorandum 007, Maastricht University, Netherlands Institute of Business Organization and Strategy Research (NIBOR).
    8. Alberto Salvo, 2004. "A General Analysis of Sequential Merger Games with an Application to Cross-Border Mergers," STICERD - Economics of Industry Papers 36, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    9. Cook, Steven, 2007. "On the relationship between mergers and economic activity: Evidence from an optimised hybrid method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 628-634.
    10. Nilssen, T. & Sogard, L., 1995. "Sequential Horizontal Mergers," Papers 04-95, Norwegian School of Economics and Business Administration-.
    11. Town, R.J., . "Merger," Instructional Stata datasets for econometrics merger, Boston College Department of Economics.
    12. Alberto Salvo, 2004. "A general analysis of sequential merger games with an application to cross-border mergers," LSE Research Online Documents on Economics 6732, London School of Economics and Political Science, LSE Library.
    13. Nikogosian, Vigen, 2012. "Der ZEW-ZEPHYR M&A-Index Deutschland: Determinanten und Prognose," ZEW Dokumentationen 12-06, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    14. Shyh-Wei Chen & Mei-Rong Lin & Chung-Hua Shen, 2008. "Common wave behavior for mergers and acquisitions in OECD countries? a unique analysis using new Markov switching panel model approach," Economics Bulletin, AccessEcon, vol. 7(8), pages 1-12.
    15. Nakamura, H. Richard, 2002. "Mapping Out the Japanese Mergers & Acquisitions Patterns - The Influence of Macro Factors on M & As," EIJS Working Paper Series 164, The European Institute of Japanese Studies.
    16. Neumann, Gyde & Weiss, Christoph R., 2001. "Strukturwandel durch Fusionen im Ernährungssektor: Ein anhaltender Konzentrationsprozess?," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 50(6).

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