Wharton Research Scholars Journal
Document Type
Thesis or dissertation
Date of this Version
4-2009
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
Date Posted: 02 September 2010
Comments
Suggested Citation:
Wang, Louis. "Implied Volatilities in Mergers and Acquisitions." Wharton Research Scholars Journal. University of Pennsylvania. April 2009.