价值效应是否源于并购交易?证据来自意大利股市

IF 0.8 Q3 ECONOMICS

Economic Notes Pub Date : 2021-10-25 DOI:10.1111/ecno.12194

A. Roma

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引用次数: 0

摘要

本文基于收购价值股提供的价值溢价，实证地表征了2000 - 2018年样本期间意大利股市中发现的价值效应。对价值股的出价(相对于对成长型股票的出价)在持有交易窗口中的目标股票时产生了巨大的、统计上显著的平均回报。在Fama和French高账面市值比减去低账面市值比(HML)投资组合的长线平均回报率中，出价目标股票的回报率高达三分之二。HML平均回报的另一个重要组成部分是由于卖空小型成长型股票。正如以前的文献所证明的那样，从实际的角度来看，这通常很难实现。

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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Is the value effect due to M&A deals? Evidence from the Italian stock market

This paper empirically characterises the value effect detected in the Italian stock market for the sample period 2000 – 2018 based on the value premium offered for the acquisition of a value stock. Bids on value stock (as opposed to bids on growth stocks) generate a large and statistically significant average return on the holding of the target in the deal window. Returns on target stocks for a bid make up to two ‐ thirds of the average return on the long side of the Fama and French high book ‐ to ‐ market minus low book ‐ to ‐ market (HML) portfolio. The other significant component of the average return of HML is due to short ‐ selling small ‐ growth stocks. As evidenced in previous literature, this is often difficult to implement from a practical point of view.

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来源期刊

Economic Notes ECONOMICS-

CiteScore

3.30

自引率

6.70%

发文量

期刊介绍： With articles that deal with the latest issues in banking, finance and monetary economics internationally, Economic Notes is an essential resource for anyone in the industry, helping you keep abreast of the latest developments in the field. Articles are written by top economists and executives working in financial institutions, firms and the public sector.