Latin American Business Review Pub Date : 2021-06-30 , DOI: 10.1080/10978526.2021.1939041 Juan M. Lozada 1 , Lina M. Cortés 1 , Daniel Velásquez-Gaviria 2, 3
Abstract
This paper focuses on the effect of mergers and acquisitions (M&As) announcements on the stocks of Latin American banks and their rivals between 2000 and 2019. We evaluate two impacts of M&A announcements: impacts on cumulative abnormal returns (CAR) and impacts on event-induced variance (EIV). We use the GARCH-based event-study method, finding that acquirers and target banks have a statistically significant CAR and that their rivals and targets are not affected by M&A announcements. We observe that EIV is negative for acquirers, targets, and rivals. Finally, in a robustness exercise, we estimate a multivariate GARCH model, finding that the results remain qualitatively equal.
中文翻译:
股市对并购的反应:来自银行业的证据
摘要
本文重点研究了 2000 年至 2019 年间并购(M&A)公告对拉美银行及其竞争对手股票的影响。我们评估了并购公告的两个影响:对累积异常收益(CAR)的影响和对事件的影响——诱导方差(EIV)。我们使用基于 GARCH 的事件研究方法,发现收购方和目标银行具有统计上显着的 CAR,并且他们的竞争对手和目标不受并购公告的影响。我们观察到 EIV 对收购者、目标和竞争对手都是负面的。最后,在稳健性练习中,我们估计了一个多元 GARCH 模型,发现结果在质量上保持不变。