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

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  • Hutson, Elaine
  • Kearney, Colm

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  • Hutson, Elaine & Kearney, Colm, 2001. "Volatility in stocks subject to takeover bids: Australian evidence using daily data," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 273-296, July.
    • Handle: RePEc:eee:empfin:v:8:y:2001:i:3:p:273-296
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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 405-434.
    2. 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.
    3. H. Jonathan Jang & Byung T. Ro, 1989. "Trading volume theories and their implications for empirical information content studies," Contemporary Accounting Research, John Wiley & Sons, vol. 6(1), pages 242-262, September.
    4. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
    5. Bradley, Michael, 1980. "Interfirm Tender Offers and the Market for Corporate Control," The Journal of Business, University of Chicago Press, vol. 53(4), pages 345-376, October.
    6. Officer, Lawrence H., 1987. "Economic Thought and Doctrine - Henry C. Carey and American Economic Development. By Rodney J. Morrison. Philadelphia: American Philosophical Society, 1986. Pp. ix, 91. $15.00 paper," The Journal of Economic History, Cambridge University Press, vol. 47(1), pages 294-295, March.
    7. 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.
    8. Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 517-538.
    9. Levy, Haim & Yoder, James A, 1993. "The Behavior of Option Implied Standard Deviations around Merger and Acquisition Announcements," The Financial Review, Eastern Finance Association, vol. 28(2), pages 261-272, May.
    10. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    11. 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.
    12. 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 221-247, February.
    13. 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.
    14. Mcleer, M. & Mckenzie, C.R., 1989. "When Are Two Step Estimators Efficient?," Papers 179, Australian National University - Department of Economics.
    15. 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 305-321, March.
    16. 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.
    17. 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(1), pages 109-126, March.
    18. 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 1275-1283, December.
    19. Samuelson, William & Rosenthal, Leonard, 1986. "Price Movements as Indicators of Tender Offer Success," Journal of Finance, American Finance Association, vol. 41(2), pages 481-499, June.
    20. Zissu, Anne-Marie, 1989. "The information content of post tender offer movement in the price of target shares," Economics Letters, Elsevier, vol. 29(3), pages 253-255.
    21. 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.
    22. 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 965-986, September.
    23. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-168, February.
    24. Giovanni Barone-Adesi & Keith C. Brown & W. V. Harlow, "undated". "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.
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    Cited by:

    1. Dellas, Harris & Hess, Martin, 2005. "Financial development and stock returns: A cross-country analysis," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 891-912, October.
    2. Joshua Porter & Harminder Singh, 2010. "What Factors Drive Takeovers in Australia?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 9(2), pages 87-103, August.
    3. Raymond da Silva Rosa & Terry Walter, 2004. "Australian Mergers and Acquisitions Since the 1980s: What Do We Know and What Remains to Be Done?," Australian Journal of Management, Australian School of Business, vol. 29(1_suppl), pages 1-1, June.
    4. Hutson, Elaine & Kearney, Colm, 2005. "Merger arbitrage and the interaction between target and bidder stocks during takeover bids," Research in International Business and Finance, Elsevier, vol. 19(1), pages 1-26, March.
    5. 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.
    6. Gelman, Sergey & Wilfling, Bernd, 2009. "Markov-switching in target stocks during takeover bids," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 745-758, December.
    7. Sarah Osborne & Dean Katselas & Larelle Chapple, 2012. "The preferences of private equity investors in selecting target acquisitions: An international investigation," Australian Journal of Management, Australian School of Business, vol. 37(3), pages 361-389, December.
    8. Carroll, Rachael & Kearney, Colm, 2015. "Testing the mixture of distributions hypothesis on target stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 1-14.

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