Mergers and Acquisitions Waves in the U.K.: a Markov-Switching Approach
AbstractThis paper further investigated wave behaviours for mergers and acquisitions-M&A in the U.K. during the 1969Q1/2004Q1 period by means of Markov-Switching models. Previous analysis had focused on traditional models that incorporate the potentially limiting assumption of constant transition probabilities across regimes. The consideration of more general models with time-varying transition probabilities across regimes along the lines of Diebold et al (1994) provide a useful route for assessing to which extent M&A waves are driven by economic variables usually considered in the related literature. The empirical implementation considered lagged conditioning variables referring to real output growth, real growth in money supply and real stock market returns. The evidence indicated that one should reject the constant transition probability model in favour of the time-varying transition probability model and therefore the usual aggregate variables considered in the empirical literature on M&A appear indeed to play some role in determining the wave behaviour of M&A in the U.K., though the effects are asymmetric across the different regimes.
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number ECO2005/04.
Date of creation: 2005
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Other versions of this item:
- Marcelo Resende, 2008. "Mergers and acquisitions waves in the UK: a Markov-switching approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(13), pages 1067-1074.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- L12 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Monopoly; Monopolization Strategies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-08-13 (All new papers)
- NEP-COM-2005-08-13 (Industrial Competition)
- NEP-ETS-2005-08-13 (Econometric Time Series)
- NEP-FMK-2005-08-13 (Financial Markets)
- NEP-IND-2005-08-13 (Industrial Organization)
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- Uddin, Moshfique & Boateng, Agyenim, 2011. "Explaining the trends in the UK cross-border mergers & acquisitions: An analysis of macro-economic factors," International Business Review, Elsevier, vol. 20(5), pages 547-556, October.
- Boateng, Agyenim & Hua, Xiuping & Uddin, Moshfique & Du, Min, 2014. "Home country macroeconomic factors on outward cross-border mergers and acquisitions: Evidence from the UK," Research in International Business and Finance, Elsevier, vol. 30(C), pages 202-216.
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