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

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Author Info
Town, R J
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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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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  1. Charles R. Nelson & Jeremy Piger & Eric Zivot, 2000. "Markov regime-switching and unit root tests," International Finance Discussion Papers 683, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  2. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 1997. "Waves and Persistence in Merger and Acquisition Activity," Boston College Working Papers in Economics 396, Boston College Department of Economics, revised 14 Dec 1999. [Downloadable!]
    Other versions:
  3. fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Public Policy Discussion Papers 03-15, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
  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. [Downloadable!]
    Other versions:
  5. 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 Memoranda 007, Maastricht : NIBOR, Netherlands Institute of Business Organization and Strategy Research. [Downloadable!]
  6. 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. [Downloadable!]
  7. Town, R.J., . "Merger," Instructional Stata datasets for econometrics merger, Boston College Department of Economics. [Downloadable!]
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