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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 (Hardcover, New edition)
Loot Price: R1,540
Discovery Miles 15 400
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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 (Hardcover, New edition)
Series: Corporate Finance and Governance, 9
Expected to ship within 12 - 19 working days
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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.
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