Jakobsen, Jan Bo; Voetmann, Torben - In: The European Journal of Finance 9 (2003) 4, pp. 323-342
The paper investigates the short-run price adjustment around acquisition announcements and the long-run upward bias of cross-sectional average buy-and-hold returns. The geometric Brownian motion model is applied to decompose the cross-sectional average long-run returns into transformed mean and...