Document Type

Thesis or dissertation

Date of this Version

4-2009

Comments

Suggested Citation:
Wang, Louis. "Implied Volatilities in Mergers and Acquisitions." Wharton Research Scholars Journal. University of Pennsylvania. April 2009.

Abstract

The market implied volatilities for target stocks during the period between an acquisition announcement and the transaction resolution were examined for differences between samples of successful and failed transactions. By constructing volatility ratios for all cash and pure stock swap transactions, I find that market implied volatilities for successful and failed transactions diverge over time for cash bids but not stock bids.

Keywords

mergers, risk

Included in

Marketing Commons

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Date Posted: 02 September 2010

 

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