Abstract:This paper assesses the impact of merger announcements on the market value of Brazilian acquiring firms based on 31 transactions that took place from 2004 to 2019 and in which the market value of the target was at least 10% of the market value of the acquirer. The estimates from the BEKK model, which extends the market model to incorporate time-varying betas and volatility clustering, suggest that abnormal returns to acquirers’ stockholders over a 15-day window around the merger announcement are statistically … Show more
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