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Volatility in stocks subject to takeover bids: Australian evidence using daily data

  • Hutson, Elaine
  • Kearney, Colm

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File URL: http://www.sciencedirect.com/science/article/pii/S0927-5398(01)00027-5
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 8 (2001)
Issue (Month): 3 (July)
Pages: 273-296

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Handle: RePEc:eee:empfin:v:8:y:2001:i:3:p:273-296
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. Shalen, Catherine T, 1993. "Volume, Volatility, and the Dispersion of Beliefs," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 405-34.
  2. Bhagat, Sanjai & Brickley, James A & Loewenstein, Uri, 1987. " The Pricing Effects of Interfirm Cash Tender Offers," Journal of Finance, American Finance Association, vol. 42(4), pages 965-86, September.
  3. Fabozzi, Frank J, et al, 1988. " A Note on Unsuccessful Tender Offers and Stockholder Returns," Journal of Finance, American Finance Association, vol. 43(5), pages 1275-83, December.
  4. Jiang Wang, 1993. "A Model of Intertemporal Asset Prices Under Asymmetric Information," Review of Economic Studies, Oxford University Press, vol. 60(2), pages 249-282.
  5. Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-21, March.
  6. Adrian Pagan, 1985. "Two Stage and Related Estimators and Their Applications," Cowles Foundation Discussion Papers 741, Cowles Foundation for Research in Economics, Yale University.
  7. Oxley, Les & McAleer, Michael, 1993. " Econometric Issues in Macroeconomic Models with Generated Regressors," Journal of Economic Surveys, Wiley Blackwell, vol. 7(1), pages 1-40.
  8. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
  9. Hutson, Elaine, 2000. "Takeover targets and the probability of bid success: Evidence from the Australian market," International Review of Financial Analysis, Elsevier, vol. 9(1), pages 45-65, February.
  10. G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  11. Bradley, Michael, 1980. "Interfirm Tender Offers and the Market for Corporate Control," The Journal of Business, University of Chicago Press, vol. 53(4), pages 345-76, October.
  12. Jensen, Michael C. & Ruback, Richard S., 1983. "The market for corporate control : The scientific evidence," Journal of Financial Economics, Elsevier, vol. 11(1-4), pages 5-50, April.
  13. Samuelson, William & Rosenthal, Leonard, 1986. " Price Movements as Indicators of Tender Offer Success," Journal of Finance, American Finance Association, vol. 41(2), pages 481-99, June.
  14. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
  15. Mcleer, M. & Mckenzie, C.R., 1989. "When Are Two Step Estimators Efficient?," Papers 179, Australian National University - Department of Economics.
  16. Giovanni Barone-Adesi & Keith C. Brown & W. V. Harlow, . "On the Use of Implied Stock Volatilities in the Prediction of Successful Corporate Takeovers," Rodney L. White Center for Financial Research Working Papers 23-94, Wharton School Rodney L. White Center for Financial Research.
  17. Lee, Charles M C & Ready, Mark J & Seguin, Paul J, 1994. " Volume, Volatility, and New York Stock Exchange Trading Halts," Journal of Finance, American Finance Association, vol. 49(1), pages 183-214, March.
  18. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
  19. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
  20. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-68, February.
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