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International mergers and acquisitions: A jump diffusion model application

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Abstract

This paper empirically investigates international mergers and acquisitions (M&As) of foreign targets and bidders by analyzing the stock price behavior of the firms involved. The jump diffusion model is employed to study the effects of the M&A announcements on stock prices. The results indicate that acquisition announcements are perceived as a surprise by the market, but prices seem to adjust rather rapidly, supporting the semi-strong form of the market efficiency hypothesis. In addition, a comparison of the pure diffusion and jump diffusion models indicates that the jump diffusion model is statistically superior to the traditional event study methodology (pure diffusion model). (JEL G34)

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Authors and Affiliations

  1. Crummer Graduate School of Business, Rollins College, 32789, Winter Park, FL

    Halil Kiymaz

  2. Department of Finance, Lender School of Business, Quinnipiac University, 06518, Hamden, CT

    Osman Kilic

Authors
  1. Halil Kiymaz
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  2. Osman Kilic
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Correspondence to Halil Kiymaz.

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Kiymaz, H., Kilic, O. International mergers and acquisitions: A jump diffusion model application. J Econ Finan 28, 239–251 (2004). https://doi.org/10.1007/BF02761614

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