Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Mergers and Acquisitions and Brazilian Banking Stock Market Volatility
T2 - An Application of GARCH Models
AU - Pessanha, Gabriel
AU - Pereira, Nádia
AU - Calegário, Cristina
AU - Sáfadi, Thelma
AU - Neves de Ázara, Leiziane
PY - 2016/12/21
Y1 - 2016/12/21
N2 - The main objective of this research was to investigate the impacts caused by announcements of mergers and acquisitions (M&As) on the volatility of the returns of Brazilian bank stocks from 1994 to 2015. In order to achieve the proposed objective, this study applied Generalized Autoregressive Conditional Heteroscedastic (GARCH) class models to the series to model their volatility. Our results confirmed the impact of the announcement of M&As on volatility. They suggest that M&A announcements are expected to cause a negative reaction if related to an expansion or a deal involving a less-well known bank, and a positive reaction if it involves well-known bank with good reputation—a higher level of confidence and a lower level of information asymmetry for investors.
AB - The main objective of this research was to investigate the impacts caused by announcements of mergers and acquisitions (M&As) on the volatility of the returns of Brazilian bank stocks from 1994 to 2015. In order to achieve the proposed objective, this study applied Generalized Autoregressive Conditional Heteroscedastic (GARCH) class models to the series to model their volatility. Our results confirmed the impact of the announcement of M&As on volatility. They suggest that M&A announcements are expected to cause a negative reaction if related to an expansion or a deal involving a less-well known bank, and a positive reaction if it involves well-known bank with good reputation—a higher level of confidence and a lower level of information asymmetry for investors.
U2 - 10.1080/10978526.2016.1232596
DO - 10.1080/10978526.2016.1232596
M3 - Journal article
VL - 17
SP - 333
EP - 357
JO - LATIN AMERICAN BUSINESS REVIEW
JF - LATIN AMERICAN BUSINESS REVIEW
SN - 1097-8526
IS - 4
ER -