Takeovers and the Cross-Section of Returns

• 成果类型: Article
• 署名作者: Cremers, K. J. Martijn; Nair, Vinay B.; John, Kose
• 署名单位: Yale University; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn032
• 发表日期: 2009
• 页码: 1409
• 关键词: expected stock returns; corporate-control; GOVERNANCE MECHANISMS; specification errors; equity prices; MARKET; expectations; explanation; performance; INVESTMENT

摘要

This paper considers the impact of the takeover likelihood on firm valuation. If firms are more likely to acquire when there is more free cash or lower required rates of return, the targets become more sensitive to shocks to cash flows or the price of risk. Ceteris paribus, firms exposed to takeovers have different rates of return than protected firms. Using takeover likelihood estimates, we create a takeover factor, buying (selling) firms with a high (low) takeover likelihood, which generates abnormal returns. Several tests confirm that the takeover factor helps explaining cross-sectional differences in equity returns and is related to takeover activity.