Financial Return Risk and the Effect on Shareholder Wealth : How M&A Announcements and Banking Crisis Events Affect Stock Mean Returns and Stock Return Risk A Compendium of Five Empirical Studies across Selective Industries.
Title:
Financial Return Risk and the Effect on Shareholder Wealth : How M&A Announcements and Banking Crisis Events Affect Stock Mean Returns and Stock Return Risk A Compendium of Five Empirical Studies across Selective Industries.
Author:
Raudszus, Malte Helmut.
ISBN:
9783653019889
Personal Author:
Physical Description:
1 online resource (210 pages)
Series:
Corporate Finance and Governance ; v.9
Corporate Finance and Governance
Contents:
Preface -- Acknowledgements -- Content Overview -- Table of Contents -- List of Tables -- List of Figures -- List of Abbreviations -- List of Symbols -- 1. Introduction -- 2. Does Vertical Diversification Create Superior Value? Evidence from the Construction Industry -- 2.1. Introduction -- 2.2. Literature Review -- 2.2.1. M&A Motives across Transaction Directions -- 2.2.2. Consolidation of the Construction Industry -- 2.2.3. Hypotheses for Risk and Return Behavior -- 2.3. Data and Methodology -- 2.3.1. Data Selection -- 2.3.2. Methodology -- 2.4. Results -- 2.4.1. Structure of the Results' Section -- 2.4.2. Short-term Risk and Return Behavior -- 2.4.3. Long-term Risk Behavior -- 2.4.4. Multivariate Regressions on Risk Behavior -- 2.5. Conclusion -- 3. How Consolidation Changes the Risk Profile of a Whole Sector: Evidence from the Brewing Industry -- 3.1. Introduction -- 3.2. Literature Review -- 3.2.1. Evidence on Risk Changes and Wealth Effects around M&A -- 3.2.2. Contribution to the Literature and Hypotheses -- 3.3. Data and Methodology -- 3.3.1. Data Selection -- 3.3.2. Methodology of the Systematic Risk Analysis -- 3.4. Results of Risk Analysis around M&A -- 3.4.1. Acquirer Short-term Systematic Risk Changes -- 3.4.2. Rival Short-term Systematic Risk Changes -- 3.4.3. Summary of Acquirer and Rival Risk Changes -- 3.4.4. Determinants of Abnormal Risk Changes -- 3.5. Conclusion -- 4. Bank Failures and Real Estate Investment Trust (REIT) Returns -- 4.1. Introduction -- 4.2. Literature Review -- 4.2.1. Market Liquidity, Bank Failures, and REIT Behavior -- 4.2.2. Contribution to the Literature and Hypotheses -- 4.3. Data and Methodology -- 4.3.1. Data Selection and Descriptive Statistics -- 4.3.2. Methodology of the Return and Risk Event Study -- 4.4. Results -- 4.4.1. Bank Failures' Effect on the All-REIT Index.
4.4.2. Bank Failures' Effect on Focused REIT Indices -- 4.4.3. Robustness Analysis regarding Potential Biases -- 4.4.4. Multivariate Regressions of Focused REIT Indices on the All-REIT Index -- 4.5. Conclusion -- 5. Bank Bailouts: REITs and their Performance as Financial Stock -- 5.1. Introduction -- 5.2. Literature Review -- 5.2.1. Market Liquidity, Bank Bailouts, and REIT Behavior -- 5.2.2. Contribution to the Literature and Hypotheses -- 5.3. Data and Methodology -- 5.3.1. Data Selection and Structure of the Analysis -- 5.3.2. Methodology of the Return and Risk Event Study -- 5.4. Results -- 5.4.1. Bank Bailouts' Effect on REITs and Other Financial Stocks -- 5.4.2. Bank Bailouts' Effect on Focused REITs -- 5.4.3. Bank Bailouts' Effect on Other Financial Stock Subsamples -- 5.4.4. Robustness Analysis on Differences between Single Bailout Dates -- 5.5. Conclusion -- 6. Banking Crisis and Government Intervention: How Bailouts versus Failures Affect Financial Stocks -- 6.1. Introduction -- 6.2. Literature Review -- 6.2.1. Financial Crisis and Government Intervention -- 6.2.2. Contribution to the Literatureand Basic Hypotheses -- 6.3. Data and Methodology -- 6.3.1. Data Selection and Descriptive Statistics -- 6.3.2. Methodology for Measuring Stock Return Risk -- 6.3.3. Structure of the Return and Risk Analysis -- 6.4. Results and Discussion -- 6.4.1. Average Stock Returns around Bank Events -- 6.4.2. Abnormal Stock Returns around Bank Events -- 6.4.3. Stock Variance Adjustments around Bank Events -- 6.4.4. Shifts in Asset-to-market Correlation around Bank Events -- 6.4.5. Beta Shifts around Bank Events -- 6.4.6. Determinants of Variance Adjustments and Daily Returns -- 6.5. Conclusion -- 7. Concluding Remarks -- References -- Appendix.
Abstract:
This dissertation comprises five studies analyzing daily stock returns of listed firms. Studies one and two shed light on corporate diversification through M&A and how related risk dynamics affect shareholder wealth. Carrying over the risk analysis methodology 'GARCH' to external events in studies three and four, the author individually scrutinizes the adverse implications of bank failures and bailouts in the 2007-2009 financial crisis. Finding opposing return shocks, he identifies the limits of the 'symmetric' GARCH. As observed of the behavior of stock return data, volatility reacts asymmetrically to positive and negative return shocks. The advanced EGARCH incorporates this so called 'leverage effect'. Applying the EGARCH in his final study, the author can simultaneously scrutinize the adverse bank events with an appropriate econometric foundation.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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