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Short-term price overreaction: Identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...

Persistent link: https://www.econbiz.de/10010435314

Long-term price overreactions: Are markets enefficient?

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10010464626

Price overreactions in the cryptocurrency market

Caporale, Guglielmo Maria; Plastun, Alex - 2018

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann-Whitney U test) tests confirm the presence of price patterns after...

Persistent link: https://www.econbiz.de/10011794922

Clustering properties of merger waves: Space, time or industry?

Szücs, Florian - 2013

We study the degree of agglomeration of acquisition activity within clusters of temporal, geographic and industrial proximity based on almost 600,000 individual transactions. The findings indicate that significant clustering occurs in time and across industries, while the results on geographic...

Persistent link: https://www.econbiz.de/10010323914

M&A and R&D: Asymmetric effects on acquirers and targets?

Szücs, Florian - 2013

and targets and use appropriate difference-in-difference estimation methods to single out the causal effect of mergers on …

Persistent link: https://www.econbiz.de/10010323912

They played the merger game: A retrospective analysis in the UK videogames market

Aguzzoni, Luca; Argentesi, Elena; Buccirossi, Paolo; … - 2013

We study the effect of a merger in a dynamic high-technology industry-the videogame market- which is characterized by frequent introduction of new products. To assess the impact of the merger between two large specialist retailers in the UK, we perform a difference-in-differences analysis...

Persistent link: https://www.econbiz.de/10010323916

A retrospective evaluation of the GDF/Suez merger: Effects on gas hub prices

Argentesi, Elena; Banal-Estanol, Albert; Seldeslachts, Jo; … - 2017

We present an ex-post analysis of the effects of GDF's acquisition of Suez in 2006 created one of the world's largest energy companies. We perform an econometric analysis, based on Difference-in-Difference techniques on the market for trading on the Zeebrugge gas hub in Belgium. Removing...

Persistent link: https://www.econbiz.de/10011655327

Price or variety? An evaluation of mergers effects in grocery retailing

Argentesi, Elena; Buccirossi, Paolo; Cervone, Roberto; … - 2018

Assortment decisions are key strategic instruments for firms responding to local market conditions. We assess this claim by studying the effect of a national merger between two large Dutch supermarket chains on prices and on the depth as well as composition of assortment. We adopt a...

Persistent link: https://www.econbiz.de/10011849590

Mergers in imperfectly segmented markets

Baake, Pio; Wey, Christian - 2009

We present a model with firms selling (homogeneous) products in two imperfectly segmented markets (a high-demand and a low-demand market). Buyers are mobile but restricted by transportation costs, so that imperfect arbitrage occurs when prices differ in both markets. We show that equilibria are...

Persistent link: https://www.econbiz.de/10010271113

Assessing EU merger control through compensating efficiencies

Affeldt, Pauline Luise; Duso, Tomaso; Gugler, Klaus; … - 2021

Worldwide, the overwhelming majority of large horizontal mergers are cleared by antitrust authorities unconditionally …. The presumption seems to be that efficiencies from these mergers are sizeable. We calculate the compensating efficiencies … that would prevent a merger from harming consumers for 1,014 mergers affecting 12,325 antitrust markets scrutinized by the …

Persistent link: https://www.econbiz.de/10012745501