Relative mispricing and takeover likelihood

IF 3.2 Q1 BUSINESS, FINANCE
Keming Li
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引用次数: 0

Abstract

This paper examines the effect of acquirer likelihood on future stock returns. In sharp contrast to prior findings, acquirer likelihood is a strong and negative predictor of cross-sectional future returns after controlling for target likelihood. If takeover exposure represents a risk premium, the effect on stock valuation should only present in either likelihood measure (acquirer or target likelihood). This evidence casts doubt on the rational risk explanation, but is consistent with a relative mispricing story. Investors take positions accordingly to explore profits from takeovers. Profits from trading strategy based on takeover probability are concentrated in stocks with high misvaluation characteristics, including small size, value, high momentum, high investment, and low turnover firms, as well as both high and low issuance (or accrual) firms.
相对错误定价和收购可能性
本文考察了收购者可能性对未来股票收益的影响。与先前的研究结果形成鲜明对比的是,在控制目标可能性后,收购者可能性是横截面未来回报的强大且负的预测因子。如果收购风险代表风险溢价,对股票估值的影响应该只在可能性度量(收购者或目标可能性)中出现。这一证据对理性风险解释提出了质疑,但与相对错误定价的说法相一致。投资者相应地建立头寸,以从收购中挖掘利润。基于收购概率的交易策略的利润集中在具有高错估特征的股票上,包括小规模、价值、高动量、高投资、低周转率的公司,以及高、低发行(或应计收益)的公司。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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