Research on Cross-Sectional Returns of Industry Mergers and Acquisitions in China
--Based on ZEW-ZEPHYR and Maximum Deviation Method
DOI:
https://doi.org/10.54691/bcpbm.v50i.5606Keywords:
M&A Index ZEW-ZEPHYR, Maximum Deviation Method, Cross-Sectional return.Abstract
Using ZEW-ZEPHYR and the maximum deviation method to construct the industry mergers and acquisitions (M&As) index from the perspective of incremental and absolute values, this paper further discusses the cross-sectional relationship between M&A market vibrancy and industry stock market performance. It is found that a significant negative correlation exists between the M&A market vibrancy and the industry return when half a year is taken as the turnover rate. In addition, to explore whether the market response to M&A information is complete, this paper constructs a time series momentum strategy and obtains their long-term negative return relationship. Several factors that may cause this phenomenon are analyzed, including the risk of the M&A integration period, the influence of time spent in collecting M&A data, industry characteristics, and shareholder behaviors. Given these factors, this study provides investors and decision-makers with an in-depth understanding of industry selection and M&A market vibrancy.
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