Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention

Liu Zhaoliang; Duan Ling

doi:doi:10.11648/j.si.20180604.19

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Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention

Liu Zhaoliang, Duan Ling

Published in Science Innovation (Volume 6, Issue 4)

Received: 2 August 2018 Accepted: Published: 3 August 2018

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Abstract

This article uses more than 1,000 M&A events in China's A-share listed companies from 2012 to 2017 as a sample to calculate the cumulative abnormal return rate of the corresponding stocks. Combining the methods of eventstudy, the results show that: in the event window, the cumulative abnormal return rate of cross-industry mergers and acquisitions is significantly higher than that of non-cross-industry cumulative abnormal returns. The overall sample shows a significantly positive cumulative rate of return, meaning that M & A events can increase shareholder wealth.The merger and acquisition events are classified according to asset restructuring, absorption merger and tender offer. The results show that the cumulative abnormal return rate of asset restructuring is significantly higher than the latter two categories. This result is also stable under the market model and the three-factor model. In order to explain the average cumulative abnormal return rate, this paper adopts the method of multiple regression to construct a regression model with investor attention as the main explanatory variable. At the same time, after controlling the effects of years and industries, the sample of XueQiu data measured by investors’ attention has been used as the main explanatory variable, and it has been found to have a significant positive correlation with the dependent variable CAR.

Published in	Science Innovation (Volume 6, Issue 4)
DOI	10.11648/j.si.20180604.19
Page(s)	225-231
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Mergers and Acquisitions, Abnormal Returns, Event Study, Investor Attention, XueQiu Finance

References

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APA Style

Liu Zhaoliang, Duan Ling. (2018). Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention. Science Innovation, 6(4), 225-231. https://doi.org/10.11648/j.si.20180604.19

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ACS Style

Liu Zhaoliang; Duan Ling. Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention. Sci. Innov. 2018, 6(4), 225-231. doi: 10.11648/j.si.20180604.19

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AMA Style

Liu Zhaoliang, Duan Ling. Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention. Sci Innov. 2018;6(4):225-231. doi: 10.11648/j.si.20180604.19

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@article{10.11648/j.si.20180604.19,
  author = {Liu Zhaoliang and Duan Ling},
  title = {Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention},
  journal = {Science Innovation},
  volume = {6},
  number = {4},
  pages = {225-231},
  doi = {10.11648/j.si.20180604.19},
  url = {https://doi.org/10.11648/j.si.20180604.19},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20180604.19},
  abstract = {This article uses more than 1,000 M&A events in China's A-share listed companies from 2012 to 2017 as a sample to calculate the cumulative abnormal return rate of the corresponding stocks. Combining the methods of eventstudy, the results show that: in the event window, the cumulative abnormal return rate of cross-industry mergers and acquisitions is significantly higher than that of non-cross-industry cumulative abnormal returns. The overall sample shows a significantly positive cumulative rate of return, meaning that M & A events can increase shareholder wealth.The merger and acquisition events are classified according to asset restructuring, absorption merger and tender offer. The results show that the cumulative abnormal return rate of asset restructuring is significantly higher than the latter two categories. This result is also stable under the market model and the three-factor model. In order to explain the average cumulative abnormal return rate, this paper adopts the method of multiple regression to construct a regression model with investor attention as the main explanatory variable. At the same time, after controlling the effects of years and industries, the sample of XueQiu data measured by investors’ attention has been used as the main explanatory variable, and it has been found to have a significant positive correlation with the dependent variable CAR.},
 year = {2018}
}

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TY  - JOUR
T1  - Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention
AU  - Liu Zhaoliang
AU  - Duan Ling
Y1  - 2018/08/03
PY  - 2018
N1  - https://doi.org/10.11648/j.si.20180604.19
DO  - 10.11648/j.si.20180604.19
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 225
EP  - 231
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20180604.19
AB  - This article uses more than 1,000 M&A events in China's A-share listed companies from 2012 to 2017 as a sample to calculate the cumulative abnormal return rate of the corresponding stocks. Combining the methods of eventstudy, the results show that: in the event window, the cumulative abnormal return rate of cross-industry mergers and acquisitions is significantly higher than that of non-cross-industry cumulative abnormal returns. The overall sample shows a significantly positive cumulative rate of return, meaning that M & A events can increase shareholder wealth.The merger and acquisition events are classified according to asset restructuring, absorption merger and tender offer. The results show that the cumulative abnormal return rate of asset restructuring is significantly higher than the latter two categories. This result is also stable under the market model and the three-factor model. In order to explain the average cumulative abnormal return rate, this paper adopts the method of multiple regression to construct a regression model with investor attention as the main explanatory variable. At the same time, after controlling the effects of years and industries, the sample of XueQiu data measured by investors’ attention has been used as the main explanatory variable, and it has been found to have a significant positive correlation with the dependent variable CAR.
VL  - 6
IS  - 4
ER  -

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Author Information

Liu Zhaoliang

School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, China
Duan Ling

Department of Economics and Management, Sichuan Technology & Business College, Chengdu, China

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APA Style

Liu Zhaoliang, Duan Ling. (2018). Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention. Science Innovation, 6(4), 225-231. https://doi.org/10.11648/j.si.20180604.19

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ACS Style

Liu Zhaoliang; Duan Ling. Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention. Sci. Innov. 2018, 6(4), 225-231. doi: 10.11648/j.si.20180604.19

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AMA Style

Liu Zhaoliang, Duan Ling. Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention. Sci Innov. 2018;6(4):225-231. doi: 10.11648/j.si.20180604.19

Copy | Download

@article{10.11648/j.si.20180604.19,
  author = {Liu Zhaoliang and Duan Ling},
  title = {Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention},
  journal = {Science Innovation},
  volume = {6},
  number = {4},
  pages = {225-231},
  doi = {10.11648/j.si.20180604.19},
  url = {https://doi.org/10.11648/j.si.20180604.19},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20180604.19},
  abstract = {This article uses more than 1,000 M&A events in China's A-share listed companies from 2012 to 2017 as a sample to calculate the cumulative abnormal return rate of the corresponding stocks. Combining the methods of eventstudy, the results show that: in the event window, the cumulative abnormal return rate of cross-industry mergers and acquisitions is significantly higher than that of non-cross-industry cumulative abnormal returns. The overall sample shows a significantly positive cumulative rate of return, meaning that M & A events can increase shareholder wealth.The merger and acquisition events are classified according to asset restructuring, absorption merger and tender offer. The results show that the cumulative abnormal return rate of asset restructuring is significantly higher than the latter two categories. This result is also stable under the market model and the three-factor model. In order to explain the average cumulative abnormal return rate, this paper adopts the method of multiple regression to construct a regression model with investor attention as the main explanatory variable. At the same time, after controlling the effects of years and industries, the sample of XueQiu data measured by investors’ attention has been used as the main explanatory variable, and it has been found to have a significant positive correlation with the dependent variable CAR.},
 year = {2018}
}

Copy | Download

TY  - JOUR
T1  - Mergers and Acquisitions, Abnormal Stock Returns and Investor Attention
AU  - Liu Zhaoliang
AU  - Duan Ling
Y1  - 2018/08/03
PY  - 2018
N1  - https://doi.org/10.11648/j.si.20180604.19
DO  - 10.11648/j.si.20180604.19
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 225
EP  - 231
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20180604.19
AB  - This article uses more than 1,000 M&A events in China's A-share listed companies from 2012 to 2017 as a sample to calculate the cumulative abnormal return rate of the corresponding stocks. Combining the methods of eventstudy, the results show that: in the event window, the cumulative abnormal return rate of cross-industry mergers and acquisitions is significantly higher than that of non-cross-industry cumulative abnormal returns. The overall sample shows a significantly positive cumulative rate of return, meaning that M & A events can increase shareholder wealth.The merger and acquisition events are classified according to asset restructuring, absorption merger and tender offer. The results show that the cumulative abnormal return rate of asset restructuring is significantly higher than the latter two categories. This result is also stable under the market model and the three-factor model. In order to explain the average cumulative abnormal return rate, this paper adopts the method of multiple regression to construct a regression model with investor attention as the main explanatory variable. At the same time, after controlling the effects of years and industries, the sample of XueQiu data measured by investors’ attention has been used as the main explanatory variable, and it has been found to have a significant positive correlation with the dependent variable CAR.
VL  - 6
IS  - 4
ER  -

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